Developing a risk-based approach for American basket option pricing
Ehsan Hajizadeh, Masoud Mahootchi
| Year of publication: |
2019
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|---|---|
| Authors: | Hajizadeh, Ehsan ; Mahootchi, Masoud |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 53.2019, 4, p. 1593-1612
|
| Subject: | American basket options | Backtesting | Copula-GARCH method | Simulation-based technique | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-018-9826-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012135578