Pricing average options under time-changed Lévy processes
Akira Yamazaki
| Year of publication: |
2014
|
|---|---|
| Authors: | Yamazaki, Akira |
| Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 17.2014, 1, p. 79-111
|
| Subject: | Average options | Time-changed Lévy processes | Gram-Charlier expansion | Affine processes | Quadratic Gaussian processes | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading |
| 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/10010519294