On Carr and Lee's correlation immunization strategy
Year of publication: |
2019
|
---|---|
Authors: | LIn, Jimin ; Lorig, Matthew |
Published in: |
Applied mathematical finance. - London : Routledge, ISSN 1466-4313, ZDB-ID 2004159-7. - Vol. 26.2019, 2, p. 131-152
|
Subject: | Robust pricing | quadratic variation | volatility | variance | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Börsenkurs | Share price | Korrelation | Correlation | Schätztheorie | Estimation theory |
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