Pricing European continuous-installment currency options with mean-reversion
Junkee Jeon, Geonwoo Kim
| Year of publication: |
2022
|
|---|---|
| Authors: | Jeon, Junkee ; Kim, Geonwoo |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 59.2022, p. 1-12
|
| Subject: | Currency option | Free boundary | Installment option | Mean-reversion | Mellin transform | Optimal stopping problem | Optionspreistheorie | Option pricing theory | Devisenoption | Währungsderivat | Currency derivative | Suchtheorie | Search theory | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2021.101605 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013413559