The pricing of dual-expiry exotics with mean reversion and jumps
Kevin Z. Tong, Dongping Hou, Jianhua Guan
| Year of publication: |
2019
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|---|---|
| Authors: | Tong, Kevin Z. ; Hou, Dongping ; Guan, Jianhua |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 9.2019, 1, p. 25-41
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| Subject: | Dual-Expiry Options | Binary Options | Eigenfunction Expansion | Lévy Subordinator | Stochastic Time Change | OU Process | Jump Diffusion | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | Mean Reversion | Mean reversion | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4236/jmf.2019.91003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012116663