Less Expensive Pricing and Hedging of Long-Dated Equity Index Options When Interest Rates are Stochastic
Year of publication: |
2015-02-01
|
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Authors: | Fergusson, Kevin ; Platen, Eckhard |
Institutions: | Finance Discipline Group, Business School |
Subject: | Growth optimal portfolio | benchmark approach | long-dated equity index options | minimal market model |
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