ELS pricing and hedging in a fractional Brownian motion environment-Reference-Cited by-同舟云学术

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ELS pricing and hedging in a fractional Brownian motion environment

Published:2021-01 Issue: Volume:142 Page:110453
ISSN:0960-0779
Container-title:Chaos, Solitons & Fractals
language:en
Short-container-title:Chaos, Solitons & Fractals

Author:

Kim Seong-Tae,Kim Hyun-Gyoon,Kim Jeong-Hoon

Funder

National Research Foundation of Korea

Publisher

Elsevier BV

Subject

General Mathematics,General Physics and Astronomy,Statistical and Nonlinear Physics,Applied Mathematics

Reference36 articles.

1. Do firms hedge with foreign currency derivatives for employees?;Huang;J Financ Econ,2019

2. Deep hedging;Buehler;Quant Finance,2019

3. Analytical valuation of periodical premiums for equity-linked policies with minimum guarantee;Costabile;Insur Math Econ,2013

4. Global currency hedging with common risk factors;Opie;J Financ Econ,2020

5. Business groups and tunneling: evidence from private securities offerings by Korean Chaebols;Baek;J Finance,2006

Cited by 3 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. Variance and volatility swaps and options under the exponential fractional Ornstein–Uhlenbeck model;The North American Journal of Economics and Finance;2024-05

2. A Practical Monte Carlo Method for Pricing Equity-Linked Securities with Time-Dependent Volatility and Interest Rate;Computational Economics;2023-04-30

3. Reconstructing the Local Volatility Surface from Market Option Prices;Mathematics;2022-07-21

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