Option pricing with time-changed Lévy processes
Sven Klingler, Young Shin Kim, Svetlozar Rachev and Frank J. Fabozzi
| Year of publication: |
2013
|
|---|---|
| Authors: | Klingler, Sven ; Kim, Young Shin ; Račev, Svetlozar T. ; Fabozzi, Frank J. |
| Published in: |
Applied financial economics. - London : Routledge, ISSN 0960-3107, ZDB-ID 1077973-5. - Vol. 23.2013, 13/15, p. 1231-1238
|
| Subject: | option pricing | stochastic volatility | stochastic-time change | Lévy processes | tempered stable distributions | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Statistische Verteilung | Statistical distribution |
| 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/10010204746