IT'S YOUR CHOICE: A UNIFIED APPROACH TO CHOOSER OPTIONS
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Publication:3560085
DOI10.1142/S0219024910005711zbMath1203.91298MaRDI QIDQ3560085
Publication date: 19 May 2010
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
91G20: Derivative securities (option pricing, hedging, etc.)
Cites Work
- The Pricing of Options and Corporate Liabilities
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Option and Futures Evaluation With Deterministic Volatilities1
- A systematic approach to pricing and hedging international derivatives with interest rate risk: analysis of international derivatives under stochastic interest rates
- Changes of numéraire, changes of probability measure and option pricing