On the closed-form approximation of short-time random strike options
| dc.contributor.author | Alòs, Elisa | ca |
| dc.contributor.author | León, Jorge A. | ca |
| dc.contributor.other | Universitat Pompeu Fabra. Departament d'Economia i Empresa | ca |
| dc.date.issued | 2013-05-01 | ca |
| dc.date.modified | 2016-09-29T02:50:39Z | ca |
| dc.format.mimetype | application/pdf | ca |
| dc.identifier | https://econ-papers.upf.edu/ca/paper.php?id=1347 | ca |
| dc.identifier.uri | http://hdl.handle.net/10230/20484 | ca |
| dc.language.iso | eng | ca |
| dc.relation.ispartofseries | Economics and Business Working Papers Series; 1347 | ca |
| dc.rights | L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons | ca |
| dc.rights.accessRights | info:eu-repo/semantics/openAccess | ca |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | ca |
| dc.subject.keyword | Statistics, Econometrics and Quantitative Methods | ca |
| dc.subject.keyword | spread options | ca |
| dc.subject.keyword | kirk's formula | ca |
| dc.subject.keyword | malliavin calculus | ca |
| dc.subject.keyword | derivative operator in the malliavin calculus sense | ca |
| dc.subject.keyword | skorohod integral. | ca |
| dc.title | On the closed-form approximation of short-time random strike options | ca |
| dc.type | info:eu-repo/semantics/workingPaper | ca |
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