Pricing and hedging autocallable products by Markov chain approximation
Yeda Cui, Lingfei Li, Gongqiu Zhang
| Year of publication: |
2024
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|---|---|
| Authors: | Cui, Yeda ; Li, Lingfei ; Zhang, Gongqiu |
| Published in: |
Review of derivatives research. - Dordrecht [u.a.] : Springer Science + Business Media B.V, ISSN 1573-7144, ZDB-ID 2004343-0. - Vol. 27.2024, 3, p. 259-303
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| Subject: | Autocallable | Barrier shifting | Hedging | Markov chain approximation | Payoff modification | Stochastic local volatility | Markov-Kette | Markov chain | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11147-024-09206-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015133991