A note on the impact of parameter uncertainty on barrier derivatives
Year of publication: |
December 2016
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Authors: | Escobar, Marcos ; Panz, Sven |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 4.2016, 4, p. 1-25
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Subject: | barrier options | estimation risk | random covariance | structured products | Optionsgeschäft | Option trading | Derivat | Derivative | Risiko | Risk | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Schätztheorie | Estimation theory | Korrelation | Correlation |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks4040035 [DOI] hdl:10419/167900 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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