On the performance of the comonotonicity approach for pricing Asian options in some benchmark models from equities and commodities
Jilong Chen, Christian Ewald
| Year of publication: |
March 2017
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|---|---|
| Authors: | Chen, Jilong ; Ewald, Christian |
| Published in: |
Review of Pacific Basin financial markets and policies. - Hackensack, NJ [u.a.] : World Scientific, ISSN 0219-0915, ZDB-ID 1465471-4. - Vol. 20.2017, 1, p. 1-32
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| Subject: | Asian options | commodities | hedging | risk management | Optionsgeschäft | Option trading | Hedging | Optionspreistheorie | Option pricing theory | Risikomanagement | Risk management | Warenbörse | Commodity exchange | Asien | Asia | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219091517500059 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011697161