No-arbitrage and hedging with liquid American options
Year of publication: |
2019
|
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Authors: | Bayraktar, Erhan ; Zhou, Zhou |
Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 44.2019, 2, p. 468-486
|
Subject: | semistatic trading strategies | liquid American options | fundamental theorem of asset pricing | subhedging/superhedging dualities | Hedging | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection | CAPM | Martingal | Martingale |
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