Repeated Richardson extrapolation and static hedging of barrier options under the CEV model
Author:
Affiliation:
1. Department of Information Management and Finance, College of ManagementNational Chiao Tung University Hsinchu Taiwan
2. Department of Finance, College of BusinessNational Taipei University of Business Taipei Taiwan
Publisher
Wiley
Subject
Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22100
Reference41 articles.
1. Extrapolation of difference methods in option valuation
2. Pricing American options under the constant elasticity of variance model: An extension of the method by Barone-Adesi and Whaley
3. Computing discrete mixtures of continuous distributions: noncentral chisquare, noncentral t and the distribution of the square of the sample multiple correlation coefficient
4. The Pricing of Options and Corporate Liabilities
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. A Cubic B-Spline Collocation Method for Barrier Options under the CEV Model;Mathematics;2023-09-19
2. Reducing the discretization error for a poroelasticity problem in variables having extreme values;Journal of the Brazilian Society of Mechanical Sciences and Engineering;2022-03-19
3. Proactive Hedging European Option Pricing with a General Logarithmic Position Strategy;Discrete Dynamics in Nature and Society;2022-01-19
4. Pricing and hedging bond options and sinking-fund bonds under the CIR model;Quantitative Finance and Economics;2022
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3