Method of moments approach to pricing double barrier contracts in polynomial jump-diffusion models
Bjorn Eriksson and Martijn Pistorius
| Year of publication: |
2011
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|---|---|
| Authors: | Eriksson, Bjorn ; Pistorius, Martijn |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 14.2011, 7, p. 1139-1158
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| Subject: | Double barrier option | partial barrier option | American corridor option | linear programming | moments | polynomial jump-diffusion | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming | Momentenmethode | Method of moments | Monte-Carlo-Simulation | Monte Carlo simulation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009407659