Pricing and Hedging Path-Dependent Options Under the CEV Process (Q3114712): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set OpenAlex properties. |
||
| (One intermediate revision by one other user not shown) | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1287/mnsc.47.7.949.9804 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2056257481 / rank | |||
Normal rank | |||
Latest revision as of 19:21, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing and Hedging Path-Dependent Options Under the CEV Process |
scientific article |
Statements
Pricing and Hedging Path-Dependent Options Under the CEV Process (English)
0 references
19 February 2012
0 references
path-dependent options
0 references
barrier options
0 references
lookback options
0 references
diffusion processes
0 references
Ornstein-Uhlenbeck process
0 references
