On the Loading of a Stop-Loss Contract: A Correction on Extrapolation and two Stable Price Methods

DOI10.1007/BF02808604MaRDI QIDQ5422720zbMATH OpenOpenAlexFDO

Authors Werner Hürlimann

Publication date 30 October 2007

Published in Blätter der DGVFM (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02808604

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• scientific article; zbMATH DE number 5657412 (Why is no real title available?)
• scientific article; zbMATH DE number 718679 (Why is no real title available?)
• scientific article; zbMATH DE number 1093219 (Why is no real title available?)
• Extremal functions and financial gain

Cited in

(1)

• On the efficacy of stop-loss rules in the presence of overnight gaps

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