Pricing airbag option via first passage time approach
Zheng Liu, Xiaosong Qian, Jing Yao and Yinghui Dong
| Year of publication: |
2024
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|---|---|
| Authors: | Liu, Zheng ; Qian, Xiaosong ; Yao, Jing ; Dong, Yinghui |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 24.2024, 7, p. 955-974
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| Subject: | Airbag option | First passage time approach | Hybrid model | Mixed-exponential jump diffusion model | Option pricing | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2024.2379919 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015050807