No-arbitrage and hedging with liquid American options
Erhan Bayraktar, Zhou Zhou
| Year of publication: |
2019
|
|---|---|
| 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 | Liquidität | Liquidity |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/moor.2018.0932 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012028629