Option pricing under jump-diffusion models with mean-reverting bivariate jumps
Daniel Wei-Chung Miao; Xenos Chang-Shuo Lin; Wan-Ling Chao
| Year of publication: |
2014
|
|---|---|
| Authors: | Miao, Daniel Wei-chung ; Lin, Xenos Chang-shuo ; Chao, Wan-ling |
| Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 42.2014, 1, p. 27-33
|
| Subject: | Options pricing | Jump-diffusion models | Mean-reverting | Bivariate jumps | Discrete Ornstein–Uhlenbeck process | Implied volatility smiles | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Mean Reversion | Mean reversion | Optionsgeschäft | Option trading |
| 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://ebvufind01.dmz1.zbw.eu/10010259274