Cover Image

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
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
Online Resource
Check full text access |
doi.org
Check Google Scholar
I need help

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10015144084
Similar items by subject
Similar items by person