Pricing index options by static hedging under finite liquidity
John Armstrong, Teemu Pennanen and Udomsak Rakwongwan
| Year of publication: |
September 2018
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|---|---|
| Authors: | Armstrong, John ; Pennanen, Teemu ; Rakwongwan, Udomsak |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 21.2018, 6, p. 1-18
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| Subject: | Incomplete markets | indifference pricing | convex optimization | Hedging | Unvollkommener Markt | Incomplete market | Optionspreistheorie | Option pricing theory | Index-Futures | Index futures | Derivat | Derivative | Liquidität | Liquidity |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Konferenzbeitrag ; Conference paper ; Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024918500449 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011926583