Pricing and hedging of lookback options in hyper-exponential jump diffusion models
Year of publication: |
2013
|
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Authors: | Hofer, Markus ; Mayer, Philipp |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 20.2013, 5/6, p. 489-511
|
Subject: | Exotic options | lookback options | option pricing | delta hedging | Greeks | hyper-exponential jump diffusion | Lévy processes | Laplace tranform | Optionspreistheorie | Option pricing theory | Hedging | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Derivat | Derivative |
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