Pricing and hedging of lookback options in hyper-exponential jump diffusion models
Markus Hofer & Philipp Mayer
| Year of publication: |
2013
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|---|---|
| Authors: | Hofer, Markus ; Mayer, Philipp |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 20.2013, 5/6, p. 489-511
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| Subject: | Exotic options | lookback options | option pricing | delta hedging | Greeks | hyper-exponential jump diffusion | Lévy processes | Laplace tranform | Optionspreistheorie | Option pricing theory | Hedging | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Volatilität | Volatility | Black-Scholes-Modell | Black-Scholes model |
| 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/10010235585