The evaluation of Europe Griebschan compound option prices under stochastic volatility using Fourier transform techniques
Susanne A. Griebsch
| Year of publication: |
2013
|
|---|---|
| Authors: | Griebsch, Susanne A. |
| Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 16.2013, 2, p. 135-165
|
| Subject: | Compound options | Heston model | Fourier transform techniques | Characteristic functions | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility |
| 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/10009774402