Option pricing with discrete time jump processes
Dominique Guégan; Florian Ielpo; Hanjarivo Lalaharison
| Year of publication: |
2013
|
|---|---|
| Authors: | Guégan, Dominique ; Ielpo, Florian ; Lalaharison, Hanjarivo |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 37.2013, 12, p. 2417-2445
|
| Subject: | Option pricing | Time Jump processes | Exponential affine stochastic discount factor | Minimal Entropy Martingale Measure | S&P 500 | CAC 40 | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Martingal | Martingale | CAPM | Entropie | Entropy | Derivat | Derivative | Unvollkommener Markt | Incomplete market | Diskontierung | Discounting | Volatilität | Volatility |
| 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/10010348134