Pricing and hedging power options
Author:
Publisher
Springer Science and Business Media LLC
Subject
Finance,General Economics, Econometrics and Finance
Link
http://link.springer.com/content/pdf/10.1007/BF02425804.pdf
Reference5 articles.
1. Black, F. and Scholes, M.S. (1973), ‘The Pricing of Options and Corporate Liabilities’,Journal of Political Economy,3, 637–654.
2. Cox, J.C. and Ross, S.A. (1976), ‘Valuation of Options for Alternative Stochastic Processes’,Journal of Financial Economics,3, 145–166.
3. Cox, J.C. and Rubinstein, M. (1985),Options Markets, Prentice Hall.
4. Kariya, T. (1993),Quantitative Methods for Portfolio Analysis, Kluwer Academic Publishers.
5. Kat, H.M. (1996), Delta Hedging of S&P 500 Options: Cash versus Futures Market Execution,Journal of Derivatives 3(3) 6–25.
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