An improved method for pricing and hedging long dated American options (Q323396)

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An improved method for pricing and hedging long dated American options
scientific article

    Statements

    title
    An improved method for pricing and hedging long dated American options (English)
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    author
    Tommaso Paletta
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    Silvia Stanescu
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    Frank J. Fabozzi
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    Radu S. Tunaru
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    publication date
    7 October 2016
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    zbMATH Keywords
    American options
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    optimal exercise price
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    quasi-analytic method
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    delta-hedging
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    LEAPS
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    cites work
    Q4356583
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    Identifiers

    zbMATH DE Number
    6636491
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    OpenAlex ID
    W2324090688
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