Valuation of long-maturity KIKO options under the stochastic volatility model
Joon-Haeng Lee; Junmo Song
| Year of publication: |
2014
|
|---|---|
| Authors: | Lee, Joon-haeng ; Song, Junmo |
| Published in: |
Asia-Pacific journal of financial studies. - Richmond : Wiley-Blackwell, ISSN 2041-9945, ZDB-ID 2616683-5. - Vol. 43.2014, 4, p. 492-529
|
| Subject: | Currency option | Knock-In Knock-Out option | KIKO option valuation | Stochastic volatility model | Heston's model | Estimation | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Devisenoption | Optionsgeschäft | Option trading | Währungsderivat | Currency derivative | Derivat | Derivative |
| 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/10010407444