Static hedges of barrier options under fast mean-reverting stochastic volatility
Jeonggyu Huh, Jaegi Jeon, Yong-Ki Ma
| Year of publication: |
2020
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|---|---|
| Authors: | Huh, Jeonggyu ; Jeon, Jaegi ; Ma, Yong-Ki |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 55.2020, 1, p. 185-210
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| Subject: | Stochastic volatility model | Static hedge | Transaction costs | Barrier option | Perturbation theory | Optionsgeschäft | Option trading | Hedging | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Transaktionskosten | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-019-09883-1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012222596