Optimal hedging of basket barrier options with additive models and its application to equity value separation problem
Yuji Yamada
| Year of publication: |
March 2017
|
|---|---|
| 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 | Hedging | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection |