Stochastic alpha-beta-rho hedging for foreign exchange options : is it worth the effort?
Yifan Yang, Frank J. Fabozzi, and Michele Leonardo Bianchi
| Year of publication: |
2015
|
|---|---|
| Authors: | Yang, Yifan ; Fabozzi, Frank J. ; Bianchi, Michele Leonardo |
| Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 23.2015, 1, p. 76-89
|
| Subject: | Hedging | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Währungsderivat | Currency derivative | Devisenoption | Currency option |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011404590