Pricing and hedging of quanto range accrual notes under Gaussian HJM with cross-currency Levy processes
Szu-Lang Liao; Pao-Peng Hsu
| Year of publication: |
2009
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|---|---|
| Authors: | Liao, Szu-Lang ; Hsu, Pao-Peng |
| Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 29.2009, 10, p. 973-998
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| Subject: | Strukturiertes Produkt | Structured product | Optionspreistheorie | Option pricing theory | Hedging | Stochastischer Prozess | Stochastic process | Theorie | Theory |
| 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/10003900954