Optimal hedging of basket barrier options with additive models and its application to equity value separation problem
Year of publication: |
March 2017
|
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Authors: | Yamada, Yuji |
Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 24.2017, 1, p. 1-18
|
Subject: | Basket barrier options | Optimal hedging | Additive models | Smooth functions | First passage time structural models | Optionsgeschäft | Option trading | Hedging | Optionspreistheorie | Option pricing theory | Experiment |
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