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~isPartOf:"CORE discussion papers : DP"
~isPartOf:"Journal of risk and financial management : JRFM"
~person:"Al-Hadad, Jonas"
~person:"Baule, Rainer"
~person:"Li, Zhe"
~person:"Ryu, Doojin"
~person:"Stentoft, Lars"
~subject:"Derivative"
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Al-Hadad, Jonas
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CORE discussion papers : DP
Journal of risk and financial management : JRFM
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2
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2
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Time-discrete hedging of down-and-out puts with overnight trading gaps
Baule, Rainer
;
Rosenthal, Philip
- In:
Journal of risk and financial management : JRFM
15
(
2022
)
1
,
pp. 1-20
ratios for both the underlying and call
options
as hedge instruments. We derive semi-analytical formulas for optimal hedge …
Persistent link: https://www.econbiz.de/10012813892
Saved in:
2
Pricing perpetual American put
options
with asset-dependent discounting
Al-Hadad, Jonas
;
Palmowski, Zbigniew
- In:
Journal of risk and financial management : JRFM
14
(
2021
)
3
,
pp. 1-19
The main objective of this paper is to present an algorithm of pricing perpetual American put
options
with asset …
Persistent link: https://www.econbiz.de/10012520043
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