Valuation of long-maturity KIKO options under the stochastic volatility model
Year of publication: |
2014
|
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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
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Subject: | Currency option | Knock-In Knock-Out option | KIKO option valuation | Stochastic volatility model | Heston's model | Estimation | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Experiment |
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