A two-step problem of hedging a European call option under a random duration of transactions (Q2396374): Difference between revisions
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| Property / cites work: The Pricing of Options and Corporate Liabilities / rank | |||
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| Property / cites work: A nonlinear autoregressive conditional duration model with applications to financial transaction data / rank | |||
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| Property / cites work: Stochastic finance. An introduction in discrete time / rank | |||
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| Property / cites work: Stochastic optimal control. The discrete time case / rank | |||
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| Property / full work available at URL: https://doi.org/10.1134/s0081543816090091 / rank | |||
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| Property / OpenAlex ID: W2580165198 / rank | |||
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Latest revision as of 11:11, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A two-step problem of hedging a European call option under a random duration of transactions |
scientific article |
Statements
A two-step problem of hedging a European call option under a random duration of transactions (English)
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8 June 2017
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European option
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option hedging
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dynamic programming
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