Pricing virtual currency-linked derivatives with time-inhomogeneity
Yu-Min Lian, Jun-Home Chen
| Year of publication: |
2021
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|---|---|
| Authors: | Lian, Yu-Min ; Chen, Jun-Home |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 71.2021, p. 424-439
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| Subject: | Cryptocurrency option | Dynamic measure change | Forward interest rate | State-dependent heath–jarrow–morton model | State-dependent stochastic volatility model with jumps | Two-factor | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative | Virtuelle Währung | Virtual currency | Zins | Interest rate |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2020.09.015 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012627797