THE VALUATION OF RUSSIAN OPTIONS FOR DOUBLE EXPONENTIAL JUMP DIFFUSION PROCESSES (Q3566768): Difference between revisions
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| Property / cites work: Arbitrage pricing of Russian options and perpetual lookback options / rank | |||
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| Property / cites work: Option pricing when underlying stock returns are discontinuous / rank | |||
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| Property / cites work: The Russian option: Reduced regret / rank | |||
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| Property / full work available at URL: https://doi.org/10.1142/s021759591000265x / rank | |||
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Latest revision as of 10:53, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | THE VALUATION OF RUSSIAN OPTIONS FOR DOUBLE EXPONENTIAL JUMP DIFFUSION PROCESSES |
scientific article |
Statements
THE VALUATION OF RUSSIAN OPTIONS FOR DOUBLE EXPONENTIAL JUMP DIFFUSION PROCESSES (English)
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10 June 2010
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Russian option
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jump diffusion process
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