Pricing illiquid options with n + 1 liquid proxies using mixed dynamic-static hedging
Igor Halperin; Andrey Itkin
| Year of publication: |
2013
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|---|---|
| Authors: | Halperin, Igor ; Itkin, Andrey |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 16.2013, 7, p. 1-17
|
| Subject: | Incomplete market | indifference pricing | illiquid option | dynamic/static hedge | HJB equation | operator splitting method | Hedging | Unvollkommener Markt | Optionspreistheorie | Option pricing theory | Liquidität | Liquidity | Optionsgeschäft | Option trading | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010233264