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Year of publication
Subject
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Option pricing theory 2 Option trading 2 Optionsgeschäft 2 Optionspreistheorie 2 Stochastic process 2 Stochastischer Prozess 2 Timer Option 2 Volatility 2 Volatilität 2 Bates Model 1 Black-Scholes Model 1 Black-Scholes model 1 Black-Scholes-Modell 1 CAPM 1 Closed-Form Approximation 1 Contingent Claim 1 Double Exponential Jump-Diffusion Model 1 European Option 1 Fast Fourier Transform Method 1 Fast Hilbert Transform Method 1 Heston Model 1 Merton’s Model 1 Perturbation 1 Probability theory 1 Statistical distribution 1 Statistische Verteilung 1 Stochastic Volatility Model 1 Stochastic volatility 1 Wahrscheinlichkeitsrechnung 1 exact probability densities 1 implied volatility 1 timer option 1
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Online availability
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Free 1 Undetermined 1
Type of publication
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Article 2 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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English 2 Undetermined 1
Author
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Cui, Zhenyu 1 Fadugba, Sunday Emmanuel 1 Kirkby, J. Lars 1 Li, Minqiang 1 Lian, Guanghua 1 Mercurio, Fabio 1 Nguyen, Duy 1 Nwozo, Chuma Raphael 1
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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International journal of theoretical and applied finance 1 Journal of mathematical finance 1 MPRA Paper 1
Source
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ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
Cover Image
Closed-Form Approximation of Timer Option Prices under General Stochastic Volatility Models
Li, Minqiang; Mercurio, Fabio - Volkswirtschaftliche Fakultät, … - 2013
We develop an asymptotic expansion technique for pricing timer options under general stochastic volatility models around small volatility of variance. Closed-form approximation formulas have been obtained for the Heston model and the 3/2-model. The approximation has an easy-to-understand...
Persistent link: https://www.econbiz.de/10011110016
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Cover Image
Integral representations of probability density of stochastic volatility models and timer options
Cui, Zhenyu; Kirkby, J. Lars; Lian, Guanghua; Nguyen, Duy - In: International journal of theoretical and applied finance 20 (2017) 8, pp. 1-32
Persistent link: https://www.econbiz.de/10011787421
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Cover Image
On two transform methods for the valuation of contingent claims
Nwozo, Chuma Raphael; Fadugba, Sunday Emmanuel - In: Journal of mathematical finance 5 (2015) 2, pp. 88-112
Persistent link: https://www.econbiz.de/10011398726
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