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Published in 2018 at "Annals of Operations Research"
DOI: 10.1007/s10479-016-2180-x
Abstract: In this paper we present an option pricing model based on the assumption that the underlying asset price is an exponential Mixed Tempered Stable Lévy process. We also introduce a new R package called PricingMixedTS…
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Keywords:
mixedts process;
option;
exponential mixedts;
pricing exponential ... See more keywords