Hedging of Asian options under exponential Lévy models : computation and performance
Laura Ballotta, Russell Gerrard and Ioannis Kyriakou
| Year of publication: |
March-April 2017
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| Authors: | Ballotta, Laura ; Gerrard, Russell ; Kyriakou, Ioannis |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 23.2017, 4/6, p. 297-323
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| Subject: | arithmetic Asian options | discrete monitoring | price sensitivities | Lévy processes | hedging error | model misspecification | Optionsgeschäft | Option trading | Hedging | Optionspreistheorie | Option pricing theory | Experiment | Stochastischer Prozess | Stochastic process | Derivat | Derivative |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2015.1066694 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011736257