The [beta]-variance gamma model
Wim Schoutens; Geert Van Damme
| Year of publication: |
2011
|
|---|---|
| Authors: | Schoutens, Wim ; Van Damme, Geert |
| Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 14.2011, 3, p. 263-282
|
| Subject: | Levy processes | Hitting probability | Barrier options | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Wahrscheinlichkeitsrechnung | Probability theory | Betafaktor | Beta risk | Schätztheorie | Estimation theory | CAPM |
| 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/10009349988