Saddlepoint approximation methods for pricing derivatives on discrete realized variance
Wendong Zheng & Yue Kuen Kwok
| Year of publication: |
2014
|
|---|---|
| Authors: | Zheng, Wendong ; Kwok, Yue-Kuen |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 21.2014, 1/2, p. 1-31
|
| Subject: | Variance options | volatility derivatives | saddlepoint approximation | discrete sampling | Derivat | Derivative | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory | Optionsgeschäft | Option trading | Varianzanalyse | Analysis of variance | Stichprobenerhebung | Sampling |
| 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/10010351861