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Search: subject:"hyper-exponential jump-diffusion model"
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Option pricing theory
3
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Optionspreistheorie
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American options
2
Hyper-exponential jump-diffusion model
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Early exercise premium
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early exercise premium
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hyper-exponential jump-diffusion model
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jump-diffusion disentanglement
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Vasiljević, Nikola
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Leippold, Markus
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Chesney, Marc
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Journal of banking & finance
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Quantitative finance
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ECONIS (ZBW)
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Parisian options with jumps : a maturity-excursion randomization approach
Chesney, Marc
;
Vasiljević, Nikola
- In:
Quantitative finance
18
(
2018
)
11
,
pp. 1887-1908
Persistent link: https://www.econbiz.de/10012262861
Saved in:
2
Pricing and disentanglement of American puts in the
hyper-exponential
jump-diffusion
model
Leippold, Markus
;
Vasiljević, Nikola
- In:
Journal of banking & finance
77
(
2017
),
pp. 78-94
Persistent link: https://www.econbiz.de/10011814354
Saved in:
3
Pricing and disentanglement of American puts in the
hyper-exponential
jump-diffusion
model
Leippold, Markus
;
Vasiljević, Nikola
-
2015
We analyze American put options in a
hyper-exponential
jump-diffusion
model
. Our contribution is threefold. Firstly, by …
Persistent link: https://www.econbiz.de/10011293508
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