A Poisson-Gaussian model to price European options on the extremum of several risky assets within the HJM framework
type: Item
instance of: scholarly article
title: A Poisson-Gaussian model to price European options on the extremum of several risky assets within the HJM framework
zbMATH Open document ID: 1208.91144
author: Guohe Deng
author: Lihong Huang
published in: Journal of Systems Science and Complexity
publication date: 2011-02-25T00:00:00Z
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 5857557
zbMATH Keywords: extremum options
zbMATH Keywords: jump-diffusion model
zbMATH Keywords: stochastic interest rate
MaRDI profile type: Publication
full work available at URL: s11424-010-7205-y
OpenAlex ID: W1537105505
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DOI: 10.1007/S11424-010-7205-Y
description: scientific article; zbMATH DE number 5857557