Integrating delta: an intuitive single-integral approach to pricing European options on diverse stochastic processes
From MaRDI portal
Publication:1929374
DOI10.1016/J.ECONLET.2006.01.010zbMath1254.91722OpenAlexW2028450899MaRDI QIDQ1929374
Publication date: 8 January 2013
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2006.01.010
Cites Work
- The Pricing of Options and Corporate Liabilities
- Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- The Variance Gamma Process and Option Pricing
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Option pricing when underlying stock returns are discontinuous
This page was built for publication: Integrating delta: an intuitive single-integral approach to pricing European options on diverse stochastic processes
