An explicit option-based strategy that outperforms dollar cost averaging
Steven Vanduffel; Ales Ahcan; Luc Henrard; Mateusz Maj
| Year of publication: |
2012
|
|---|---|
| Authors: | Vanduffel, Steven ; Ahcan, Ales ; Henrard, Luc ; Maj, Mateusz |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 2, p. 1-19
|
| Subject: | Lévy process | minimal guarantee | Jensen's inequality | Brownian bridge | hedging | Esscher transform | Stochastischer Prozess | Stochastic process | Hedging | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection |
| 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/10009624518