Option Valuation and Hedging with Basis Risk-Reference-Cited by-同舟云学术

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Option Valuation and Hedging with Basis Risk

Published:2000 Issue: Volume: Page:245-254
ISSN:0893-3405
Container-title:The Kluwer International Series in Engineering and Computer Science
language:
Short-container-title:

Author:

Davis Mark

Publisher

Springer US

Link

http://link.springer.com/content/pdf/10.1007/978-1-4615-5223-9_18.pdf

Reference4 articles.

1. N.H. Bingham and R. Kiesel, Risk-Neutral Valuation, Springer Verlag, New York, 1998.

2. Mark Davis, Option Pricing in Incomplete Markets, Mathematics of Derivative Securities, M.A.H. Dempster and S.R. Pliska,1998.

3. I. Karatzas, Lectures on the Mathematics of Finance, American Mathematical Society, Providence RI, 1997.

4. I. Karatzas and S.G. Kou, Pricing contingent claims with constrained portfolios, Annals of Applied Probability 6, 1996, 321–369.

Cited by 4 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. The Pay‐for‐Success Contract: A Valuation Note;Journal of Futures Markets;2024-06-24

2. In memoriam: Mark H. A. Davis and his contributions to mathematical finance;Mathematical Finance;2021-10

3. Portfolios of American Options Under General Preferences: Results and Counterexamples;SSRN Electronic Journal;2011

4. Optimal Hedging with Basis Risk;From Stochastic Calculus to Mathematical Finance;2006

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