An improved framework for approximating option prices with application to option portfolio hedging
Sharif Mozumder, Michael Dempsey, M. Humayun Kabir, Taufiq Choudhry
| Year of publication: |
December 2016
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|---|---|
| Authors: | Mozumder, Sharif ; Dempsey, Michael ; Kabir, M. Humayun ; Choudhry, Taufiq |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 59.2016, p. 285-296
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| Subject: | Delta | Gamma | Hedge | Multi-stock-knot | Lévy pricing | Hedging | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2016.07.023 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011647843