Validation of profit and loss attribution models for equity derivatives
Dilip B. Madan and King Wang
| Year of publication: |
March 2018
|
|---|---|
| Authors: | Madan, Dilip B. ; Wang, King |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 12.2018, 1, p. 29-47
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| Subject: | Fundamental Review of the Trading Book | sticky strike | Sato process | vega-vanna-volga | kernel smoothing | Laplace option pricing | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Arbeitskampf | Industrial action |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JRMV.2018.184 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011869730