Semi-analytical solutions for barrier and American options written on a time-dependent Ornstein-Uhlenbeck process
Peter Carr and Andrey Itkin
| Year of publication: |
2021
|
|---|---|
| Authors: | Carr, Peter ; Itkin, Andrey |
| Subject: | Derivatives | options | statistical methods | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Derivat | Derivative | Black-Scholes-Modell | Black-Scholes model | Stochastischer Prozess | Stochastic process | Statistische Methode | Statistical method | Volatilität | Volatility |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3905/jod.2021.1.133 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012612941