Pricing gold options under Markov-modulated jump-diffusion processes
Shih-Kuei Lin, Yu-Min Lian and Szu-Lang Liao
| Year of publication: |
2014
|
|---|---|
| Authors: | Lin, Shih-kuei ; Lian, Yu-Min ; Liao, Szu-Lang |
| Published in: |
Applied financial economics. - London : Routledge, ISSN 0960-3107, ZDB-ID 1077973-5. - Vol. 24.2014, 10/12, p. 825-836
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| Subject: | gold price | European gold option | Markov-modulated jump-diffusion process | Esscher transform | Gold | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Goldstandard | Gold standard |
| 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/10010402550