Recursive Algorithms for Pricing Discrete Variance Options and Volatility Swaps Under Time-Changed Lèvy Processes
Year of publication: |
2017
|
---|---|
Authors: | Zheng, Wendong |
Other Persons: | Yuen, Chi (contributor) ; Kwok, Yue Kuen (contributor) |
Publisher: |
[2017]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Swap | Optionsgeschäft | Option trading |
Extent: | 1 Online-Ressource (28 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 25, 2015 erstellt |
Other identifiers: | 10.2139/ssrn.2465742 [DOI] |
Classification: | G12 - Asset Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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