Pricing swaps on discrete realized higher moments under the lévy process
Wenli Zhu, Xinfeng Ruan
| Year of publication: |
2019
|
|---|---|
| Authors: | Zhu, Wenli ; Ruan, Xinfeng |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 53.2019, 2, p. 507-532
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| Subject: | Kurtosis swaps | Lévy process | Skewness swaps | Stochastic volatility | Swap | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-017-9753-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012134734