SIMPLE PROCESSES AND THE PRICING AND HEDGING OF CLIQUETS
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Publication:4906520
DOI10.1111/J.1467-9965.2011.00485.XzbMATH Open1282.91340OpenAlexW3122726171MaRDI QIDQ4906520FDOQ4906520
Authors: Dilip B. Madan, Wim Schoutens 
Publication date: 28 February 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2011.00485.x
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Cites Work
- Title not available (Why is that?)
- Coherent measures of risk
- The Variance Gamma Process and Option Pricing
- Stochastic finance. An introduction in discrete time
- Self-similar processes with independent increments
- Pricing options on realized variance
- SELF-DECOMPOSABILITY AND OPTION PRICING
- Coherent risk measures and good-deal bounds
- Class L of multivariate distributions and its subclasses
- Subordination, self-similarity, and option pricing
- Pricing and hedging basket options to prespecified levels of acceptability
- Title not available (Why is that?)
- Short positions, rally fears and option markets
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- The price of liquidity in constant leverage strategies
- PRICING OF TRAFFIC LIGHT OPTIONS AND OTHER HYBRID PRODUCTS
- Pricing of proactive hedging European option with dynamic discrete position strategy
- Sato processes and the valuation of structured products
- Multivariate factor-based processes with Sato margins
- Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
- Conic coconuts: the pricing of contingent capital notes using conic finance
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