Pricing American options in an infinite activity Lévy market : Monte Carlo and deterministic approaches using a diffusion approximation
Lisa J. Powers, Johanna Nešlehová, and David A. Stephens
| Year of publication: |
2012
|
|---|---|
| Authors: | Powers, Lisa J. ; Nešlehová, Johanna ; Stephens, David |
| Published in: |
Numerical methods in finance : Bordeaux, June 2010. - Berlin : Springer, ISBN 3-642-25745-3. - 2012, p. 291-321
|
| Subject: | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009577191