Option valuation and hedging using an asymmetric risk function : asymptotic optimality through fully nonlinear partial differential equations
Emmanuel Gobet, Isaque Pimentel, Xavier Warin
| Year of publication: |
2020
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|---|---|
| Authors: | Gobet, Emmanuel ; Pimentel, Isaque ; Warin, Xavier |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 24.2020, 3, p. 633-675
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| Subject: | Hedging | Asymmetric risk | Fully nonlinear parabolic PDE | Regression Monte Carlo | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Nichtlineare Regression | Nonlinear regression | Analysis | Mathematical analysis | Regressionsanalyse | Regression analysis | Risiko | Risk | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-020-00428-1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012518073