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Simple formulas for pricing and hedging European options in the finite moment log-stable model
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| Veröffentlicht in: | Risks 7(2019), 2/36 vom: Juni, Seite 1-14 |
|---|---|
| Personen und Körperschaften: | , |
| Titel: | Simple formulas for pricing and hedging European options in the finite moment log-stable model/ Jean-Philippe Aguilar and Jan Korbel |
| Format: | E-Book-Kapitel |
| Sprache: | Englisch |
| veröffentlicht: |
2019
|
| Gesamtaufnahme: |
: Risks, 7(2019), 2/36 vom: Juni, Seite 1-14
, volume:7 |
| Schlagwörter: | |
| Quelle: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
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| contents | We provide ready-to-use formulas for European options prices, risk sensitivities, and P&L calculations under Lévy-stable models with maximal negative asymmetry. Particular cases, efficiency testing, and some qualitative features of the model are also discussed. |
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| spelling | Aguilar, Jean-Philippe VerfasserIn aut, Simple formulas for pricing and hedging European options in the finite moment log-stable model Jean-Philippe Aguilar and Jan Korbel, 2019, Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, We provide ready-to-use formulas for European options prices, risk sensitivities, and P&L calculations under Lévy-stable models with maximal negative asymmetry. Particular cases, efficiency testing, and some qualitative features of the model are also discussed., Aufsatz in Zeitschrift DE-206, Korbel, Jan VerfasserIn aut, Enthalten in Risks Basel : MDPI, 2013 7(2019), 2/36 vom: Juni, Seite 1-14 Online-Ressource (DE-627)737288485 (DE-600)2704357-5 (DE-576)379467852 2227-9091 nnns, volume:7 year:2019 number:2/36 month:06 pages:1-14, http://doi.org/10.3390/risks7020036 Resolving-System kostenfrei Volltext, https://www.mdpi.com/2227-9091/7/2/36/pdf Verlag kostenfrei Volltext, http://hdl.handle.net/10419/257874 Resolving-System kostenfrei, https://creativecommons.org/licenses/by/4.0/ Verlag Terms of use, http://doi.org/10.3390/risks7020036 LFER, https://www.mdpi.com/2227-9091/7/2/36/pdf LFER, LFER 2020-11-11T04:44:09Z |
| spellingShingle | Aguilar, Jean-Philippe, Korbel, Jan, Simple formulas for pricing and hedging European options in the finite moment log-stable model, We provide ready-to-use formulas for European options prices, risk sensitivities, and P&L calculations under Lévy-stable models with maximal negative asymmetry. Particular cases, efficiency testing, and some qualitative features of the model are also discussed., Aufsatz in Zeitschrift |
| title | Simple formulas for pricing and hedging European options in the finite moment log-stable model |
| title_auth | Simple formulas for pricing and hedging European options in the finite moment log-stable model |
| title_full | Simple formulas for pricing and hedging European options in the finite moment log-stable model Jean-Philippe Aguilar and Jan Korbel |
| title_fullStr | Simple formulas for pricing and hedging European options in the finite moment log-stable model Jean-Philippe Aguilar and Jan Korbel |
| title_full_unstemmed | Simple formulas for pricing and hedging European options in the finite moment log-stable model Jean-Philippe Aguilar and Jan Korbel |
| title_in_hierarchy | Simple formulas for pricing and hedging European options in the finite moment log-stable model / Jean-Philippe Aguilar and Jan Korbel, |
| title_short | Simple formulas for pricing and hedging European options in the finite moment log-stable model |
| title_sort | simple formulas for pricing and hedging european options in the finite moment log stable model |
| topic | Aufsatz in Zeitschrift |
| topic_facet | Aufsatz in Zeitschrift |
| url | http://doi.org/10.3390/risks7020036, https://www.mdpi.com/2227-9091/7/2/36/pdf, http://hdl.handle.net/10419/257874, https://creativecommons.org/licenses/by/4.0/ |