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https://hdl.handle.net/10419/40181 Kompletter Metadatensatz
| DublinCore-Feld | Wert | Sprache |
|---|---|---|
| dc.contributor.author | Keller-Ressel, Martin | en |
| dc.contributor.author | Kilin, Fiodar | en |
| dc.date.accessioned | 2010-09-09 | - |
| dc.date.accessioned | 2010-09-24T09:03:57Z | - |
| dc.date.available | 2010-09-24T09:03:57Z | - |
| dc.date.issued | 2008 | - |
| dc.identifier.uri | http://hdl.handle.net/10419/40181 | - |
| dc.description.abstract | We derive a semi-analytical formula for pricing forward-start options in the Barndorff-Nielsen- Shephard model. In terms of computational time, this formula is equivalent to one-dimensional integration. | en |
| dc.language.iso | eng | en |
| dc.publisher | |aFrankfurt School of Finance & Management, Centre for Practical Quantitative Finance (CPQF) |cFrankfurt a. M. | en |
| dc.relation.ispartofseries | |aCPQF Working Paper Series |x18 | en |
| dc.subject.jel | G13 | en |
| dc.subject.ddc | 330 | en |
| dc.subject.keyword | Affine Models | en |
| dc.subject.keyword | Barndorff-Nielsen-Shephard Model | en |
| dc.subject.keyword | Forward-Start Options | en |
| dc.subject.stw | Optionspreistheorie | en |
| dc.subject.stw | Volatilität | en |
| dc.subject.stw | Stochastischer Prozess | en |
| dc.subject.stw | Theorie | en |
| dc.title | Forward-start options in the Barndorff-Nielsen-Shephard Model | - |
| dc.type | Working Paper | en |
| dc.identifier.ppn | 830007164 | en |
| dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
| dc.identifier.repec | RePEc:zbw:cpqfwp:18 | en |
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