Pricing step options under the CEV and other solvable diffusion models
G. Campolieti, R. Makarov and K. Wouterloot
| Year of publication: |
2013
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|---|---|
| Authors: | Campolieti, G. ; Makarov, Roman ; Wouterloot, K. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 16.2013, 5, p. 1-36
|
| Subject: | Spectral expansions | option pricing | step options | occupation time options | solvable diffusions | Green's functions | Laplace transform inversion | exponential stopping times | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Innovationsdiffusion | Innovation diffusion |
| 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/10009784031