An improved method for pricing and hedging long dated American options
Frank J. Fabozzi, Tommaso Paletta, Silvia Stanescu, Radu Tunaru
| Year of publication: |
16 October 2016
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|---|---|
| Authors: | Fabozzi, Frank J. ; Paletta, Tommaso ; Stanescu, Silvia ; Tunaru, Radu |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 254.2016, 2 (16.10.), p. 656-666
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| Subject: | American options | Optimal exercise price | Quasi-analytic method | Delta-hedging | LEAPS | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Hedging | 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.ejor.2016.04.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011509024