The pricing of average options with jump diffusion processes in the uncertain volatility model
Yulian Fan and Huadong Zhang
| Year of publication: |
March 2017
|
|---|---|
| Authors: | Fan, Yulian ; Zhang, Huadong |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 4.2017, 1, p. 1-31
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| Subject: | Uncertain volatility | average butterfly spread | semi-Lagrangian | jump diffusion | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | 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: | 10.1142/S2424786317500050 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011673109