Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model (Q4585682): Difference between revisions
From MaRDI portal
Revision as of 13:06, 16 July 2024
scientific article; zbMATH DE number 6933342
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model |
scientific article; zbMATH DE number 6933342 |
Statements
Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model (English)
0 references
6 September 2018
0 references
3/2 model
0 references
triple joint transition density
0 references
timer options
0 references
variance derivatives
0 references
discrete monitoring
0 references
0 references
0 references
0 references
0 references
0 references
