Option pricing in a conditional bilateral Gamma model (Q301218)
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scientific article; zbMATH DE number 6599632
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Option pricing in a conditional bilateral Gamma model |
scientific article; zbMATH DE number 6599632 |
Statements
Option pricing in a conditional bilateral Gamma model (English)
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30 June 2016
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bilateral gamma
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GARCH
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bilateral Esscher transform
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semianalytical pricing
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SPX options
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0.8584141135215759
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0.8187957406044006
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0.7672272324562073
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0.7663443088531494
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0.7623454332351685
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