{"title":"方差下具有随机相关系数的多资产美式期权定价","authors":"F. Mehrdoust, O. Samimi","doi":"10.1142/S2010495220500153","DOIUrl":null,"url":null,"abstract":"This paper considers a class of Levy process namely the variance gamma (VG) process to offer a more realistic way to model the dynamics of the logarithm of stock prices. Then, we verify the uniquen...","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":"15 1","pages":"2050015"},"PeriodicalIF":2.0000,"publicationDate":"2020-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"PRICING MULTI-ASSET AMERICAN OPTION WITH STOCHASTIC CORRELATION COEFFICIENT UNDER VARIANCE GAMMA ASSET PRICE DYNAMIC\",\"authors\":\"F. Mehrdoust, O. Samimi\",\"doi\":\"10.1142/S2010495220500153\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper considers a class of Levy process namely the variance gamma (VG) process to offer a more realistic way to model the dynamics of the logarithm of stock prices. Then, we verify the uniquen...\",\"PeriodicalId\":43570,\"journal\":{\"name\":\"Annals of Financial Economics\",\"volume\":\"15 1\",\"pages\":\"2050015\"},\"PeriodicalIF\":2.0000,\"publicationDate\":\"2020-12-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Annals of Financial Economics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1142/S2010495220500153\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"0\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Annals of Financial Economics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1142/S2010495220500153","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"0","JCRName":"ECONOMICS","Score":null,"Total":0}
PRICING MULTI-ASSET AMERICAN OPTION WITH STOCHASTIC CORRELATION COEFFICIENT UNDER VARIANCE GAMMA ASSET PRICE DYNAMIC
This paper considers a class of Levy process namely the variance gamma (VG) process to offer a more realistic way to model the dynamics of the logarithm of stock prices. Then, we verify the uniquen...
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
