Proactive hedging European option pricing with a general logarithmic position strategy

DOI10.1155/2022/4735656zbMath1490.91220OpenAlexW4205600747MaRDI QIDQ2073577

Yanyan Li

Publication date: 2 February 2022

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2022/4735656

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• Proactive hedging European call option pricing with linear position strategy
• Asian rainbow option pricing formulas of uncertain stock model
• American step options
• Pricing of proactive hedging European option with dynamic discrete position strategy
• Double Lookbacks
• Step Options
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• Pricing Lookback Options with Knock‐out Boundaries
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES

This page was built for publication: Proactive hedging European option pricing with a general logarithmic position strategy