On the performance of the comonotonicity approach for pricing Asian options in some benchmark models from equities and commodities
Year of publication: |
March 2017
|
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Authors: | Chen, Jilong ; Ewald, Christian |
Published in: |
Review of Pacific Basin financial markets and policies. - Hackensack, NJ [u.a.] : World Scientific, ISSN 0219-0915, ZDB-ID 1465471-4. - Vol. 20.2017, 1, p. 1-32
|
Subject: | Asian options | commodities | hedging | risk management | Optionsgeschäft | Option trading | Hedging | Optionspreistheorie | Option pricing theory | Risikomanagement | Risk management | Asien | Asia |
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