SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Pricing average options under time-changed Lévy processes · Study

ArticleShelves

ArticlePricing average options under time-changed Lévy processes

Akira Yamazaki2013

Article2013

Pricing average options under time-changed Lévy processes

24 citations·0/0 files stored·Review of Derivatives Research

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 24 citations exist upstream.

References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1985A Theory of the Term Structure of Interest Rates 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1996A YIELD‐FACTOR MODEL OF INTEREST RATES 1997Processes of normal inverse Gaussian type 2003Stochastic Volatility for Lévy Processes 2003Time-changed Lévy processes and option pricing 1982Approximate option valuation for arbitrary stochastic processes

Cited by

2016Jumps and stochastic volatility in crude oil prices and advances in average option pricing

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 10 shared references 2004Option Pricing: Valuation Models and Applicationsarticle · 10 shared references 2016General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Optionsarticle · 10 shared references 2016Geometric Asian option pricing in general affine stochastic volatility models with jumpsarticle · 10 shared references 2005Modeling Financial Security Returns Using Levy Processespreprint · 9 shared references 2010Pricing bounds for discrete arithmetic Asian options under Lévy modelsarticle · 9 shared references

Details

Year2013

Typearticle

Published2013-05-29

VenueReview of Derivatives Research

ISSN-L1380-6645

Languageen

Citations24

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1007/s11147-013-9091-7

openalex_workW3123047504

Links

Imported from OpenAlex (CC0) — nothing here is generated.