Valuation of compound option when the underlying asset is non-tradable (Q3580218)
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scientific article; zbMATH DE number 5769263
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Valuation of compound option when the underlying asset is non-tradable |
scientific article; zbMATH DE number 5769263 |
Statements
VALUATION OF COMPOUND OPTION WHEN THE UNDERLYING ASSET IS NON-TRADABLE (English)
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11 August 2010
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asset pricing model
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multivariate normal mean-variance mixture
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univariate subordination
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Lévy processes
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generalized hyperbolic distribution
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0.7526295185089111
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0.7438457012176514
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0.7299862504005432
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0.7214695811271667
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0.7210472822189331
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