The valuation of arithmetic Asian options with mean reversion and jump clustering
Shiyu Song
| Year of publication: |
2024
|
|---|---|
| Authors: | Song, Shiyu |
| Subject: | Asian option | Hawkes process | Jump clustering | Mean reversion | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Mean Reversion | Regionales Cluster | Regional cluster | Volatilität | Volatility | Asien | Asia |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2023.102059 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014491975