A cautionary note on the put-call parity under an asset pricing model with a lower reflecting barrier
Year of publication: |
2015
|
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Authors: | Hertrich, Markus |
Published in: |
Swiss journal of economics and statistics. - Bern : Lang, ISSN 0303-9692, ZDB-ID 200233-4. - Vol. 151.2015, 3, p. 227-260
|
Subject: | Euro/Swiss franc floor | hedging | put-call parity | reflected geometric Brownian motion | risk-neutral parity | Optionspreistheorie | Option pricing theory | Frankreich | France | Hedging | Stochastischer Prozess | Stochastic process | CAPM | Optionsgeschäft | Option trading |
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