Quanto option pricing in the presence of fat tails and asymmetric dependence
Young Shin Kim, Jaesung Lee, Stefan Mittnik, Jiho Park
| Year of publication: |
August 2015
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|---|---|
| Authors: | Kim, Young Shin ; Lee, Jaesung ; Mittnik, Stefan ; Park, Jiho |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 187.2015, 2, p. 512-520
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| Subject: | Quanto option | Multivariate normal tempered stable process | Lévy process | Black-Scholes option pricing | Nikkei 225 dollar options | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Optionsgeschäft | Option trading | Index-Futures | Index futures |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2015.02.035 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011499753