Pricing and hedging basket options with exact moment matching
Arturo Leccadito, Tommaso Paletta, Radu Tunaru
| Year of publication: |
July 2016
|
|---|---|
| Authors: | Leccadito, Arturo ; Paletta, Tommaso ; Tunaru, Radu |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 69.2016, p. 59-69
|
| Subject: | Displaced log-normal jump-diffusion process | Hermite polynomials | Moment matching | Quasi-analytical pricing | Basket options | Optionspreistheorie | Option pricing theory | Hedging | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | Matching |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2016.03.013 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011530924