On pricing options with stressed-beta in a reduced form model
Geonwoo Kim, Hyuncheul Lim, Sungchul Lee
| Year of publication: |
April 2015
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|---|---|
| Authors: | Kim, Geonwoo ; Lim, Hyuncheul ; Lee, Sungchul |
| Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 18.2015, 1, p. 29-50
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| Subject: | Two-state beta | Option pricing | European options | American options | Quadratures | Calibration | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model | Derivat | Derivative |