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Frankfurt School of Finance and Management, Frankfurt a. M. >
CPQF Working Paper Series, Frankfurt School of Finance and Management >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/40181
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Keller-Ressel, Martin | | en_US |
| dc.contributor.author | | Kilin, Fiodar | | en_US |
| dc.date.accessioned | | 2010-09-09 | | en_US |
| dc.date.accessioned | | 2010-09-24T09:03:57Z | | - |
| dc.date.available | | 2010-09-24T09:03:57Z | | - |
| dc.date.issued | | 2008 | | en_US |
| 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_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Frankfurt School of Finance & Management Frankfurt, M. | | en_US |
| dc.relation.ispartofseries | | CPQF Working Paper Series 18 | | en_US |
| dc.subject.jel | | G13 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Affine Models | | en_US |
| dc.subject.keyword | | Barndorff-Nielsen-Shephard Model | | en_US |
| dc.subject.keyword | | Forward-Start Options | | en_US |
| dc.subject.stw | | Optionspreistheorie | | en_US |
| dc.subject.stw | | Volatilität | | en_US |
| dc.subject.stw | | Stochastischer Prozess | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Forward-start options in the Barndorff-Nielsen-Shephard Model | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 591618591 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | CPQF Working Paper Series, Frankfurt School of Finance and Management
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