State-dependent jump risks for American gold futures option pricing
Yu-Min Lian, Szu-Lang Liao, Jun-Home Chen (Department of Money and Banking, National Chengchi University, Taipei, Taiwan)
| Year of publication: |
July 2015
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|---|---|
| Authors: | Lian, Yu-Min ; Liao, Szu-Lang ; Chen, Jun-Home |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 33.2015, p. 115-133
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| Subject: | State-dependent jump risk | American gold futures option | Merton measure | Esscher transform | Least-squares Monte Carlo method | Optionspreistheorie | Option pricing theory | Gold | Monte-Carlo-Simulation | Monte Carlo simulation | Derivat | Derivative | Warenbörse | Commodity exchange | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2015.04.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011534881