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Krühner, Paul [Author] ; Kallsen, Jan [Contributor]; Teichmann, Josef [Contributor]

The Heath-Jarrow-Morton approach for modelling stock options

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  • Media type: E-Book; Electronic Thesis; Doctoral Thesis; Text
  • Title: The Heath-Jarrow-Morton approach for modelling stock options
  • Contributor: Krühner, Paul [Author]
  • imprint: MACAU: Open Access Repository of Kiel University, 2011
  • Language: English
  • Keywords: Markov models ; option price surfaces ; Heath-Jarrow-Morton ; Levy processes ; thesis
  • Origination:
  • Footnote: Diese Datenquelle enthält auch Bestandsnachweise, die nicht zu einem Volltext führen.
  • Description: This thesis aims at transferring the philosophy behind Heath-Jarrow-Mor-ton to the modelling of call options. Moreover, arbitrage-free models as well as the necessary techniques are developed in this thesis.
  • Access State: Open Access
  • Rights information: In Copyright