Discrete hedging of American-type options using local risk minimization
Year of publication: |
2007
|
---|---|
Authors: | Coleman, Thomas F. ; Levchenkov, Dmitriy ; Li, Yuying |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 31.2007, 11, p. 3398-3419
|
Subject: | Optionspreistheorie | Option pricing theory | Hedging | Black-Scholes-Modell | Black-Scholes model | Risikomaß | Risk measure |
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