Pricing exotic option under jump-diffusion models by the quadrature method
Jin-Yu Zhang, Wen-Bo Wu, Yong Li, Zhu-Sheng Lou
| Year of publication: |
2021
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|---|---|
| Authors: | Zhang, Jin-Yu ; Wu, Wen-Bo ; Li, Yong ; Lou, Zhu-Sheng |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 58.2021, 3, p. 867-884
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| Subject: | Finance | Discrete path-dependent options | Quadrature | Jump-diffusion model | Option hedging | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Hedging | Stochastischer Prozess | Stochastic process | Black-Scholes-Modell | Black-Scholes model | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-020-10055-9 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012651045