Pricing short-dated foreign equity options with a bivariate jump-diffusion model with correlated fat-tailed jumps
Siti Maghfirotul Ulyah, Xenos Chang-Shuo Lin, Daniel Wei-Chung Miao
| Year of publication: |
March 2018
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|---|---|
| Authors: | Ulyah, Siti Maghfirotul ; Lin, Xenos Chang-Shuo ; Miao, Daniel Wei-Chung |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 24.2018, p. 113-128
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| Subject: | Bivariate asymmetric Laplace (BAL) distribution | Bivariate Bernoulli (BB) distribution | Foreign equity option (FEO) | Jump-diffusion model | Series expansion method | Optionspreistheorie | Option pricing theory | Statistische Verteilung | Statistical distribution | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2017.07.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011982515