Multi-step double barrier options under time-varying interest rates
Hangsuck Lee, Yisub Kye, Byungdoo Kong, Seongjoo Song
| Year of publication: |
2025
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|---|---|
| Authors: | Lee, Hangsuck ; Kye, Yisub ; Kong, Byungdoo ; Song, Seongjoo |
| Published in: |
The North American journal of economics and finance : a journal of theory and practice. - Amsterdam [u.a.] : Elsevier Science, ISSN 1062-9408, ZDB-ID 2023759-5. - Vol. 76.2025, Art.-No. 102372, p. 1-14
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| Subject: | Binomial jumps | Brownian motion | Esscher transform | Multi-step double barrier | Piecewise constant drift | Time-varying interest rate | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Zins | Interest rate | Optionsgeschäft | Option trading | Zinsstruktur | Yield curve |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2025.102372 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015372649