Testing the closed-form spread option pricing formula based on Gauss-hermite quadrature for a jump-diffusion model
Xenos Chang-Shuo Lin, Daniel Wei-Chung Miao, Emma En-Tze Chang
| Year of publication: |
2024
|
|---|---|
| Authors: | Lin, Xenos Chang-Shuo ; Miao, Daniel Wei-Chung ; Chang, Emma En-Tze |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 64.2024, 5, p. 2879-2908
|
| Subject: | Closed-form pricing formula | Gauss-Hermite quadrature (GHQ) | Jump-diffusion model | Spread option | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-023-10468-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015144084