Evaluating discrete dynamic strategies in affine models
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Publication:4683013
DOI10.1080/14697688.2011.637075zbMath1398.91561OpenAlexW2085910218MaRDI QIDQ4683013
Stefano Herzel, Flavio Angelini
Publication date: 19 September 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2011.637075
Related Items (4)
Portfolio management with benchmark related incentives under mean reverting processes ⋮ Delta hedging in discrete time under stochastic interest rate ⋮ Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect ⋮ Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate
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