Pricing digital outperformance options with uncertain correlation
Year of publication: |
2011
|
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Authors: | Romo, Jacinto Marabel |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 14.2011, 5, p. 709-722
|
Subject: | Digital outperformance options | uncertain correlation | cross-gamma | Optionspreistheorie | Option pricing theory | Korrelation | Correlation | Optionsgeschäft | Option trading | Digitalisierung | Digitization | Portfolio-Management | Portfolio selection |
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