Evaluation of the effectiveness of methods of the imperfect hedging of financial options on the Russian forward market
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics,Finance
Link
http://link.springer.com/content/pdf/10.1057/jdhf.2014.6.pdf
Reference18 articles.
1. Allayannis, G. and Weston, J.P. (1998) The Use of Foreign Currency Derivatives and Firm Market Value. US: University of Virginia. Working Paper No. 97-23.
2. Berzon, N.I. (2003) Financial Managment. Moscow: Academy.
3. Black, F. and Scholes, M. (1973) The pricing of options and corporate liabilities. Journal of Political Economy 81: 637–659.
4. Bouchaud, J.-Ph. and Potters, M. (2003) Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management. Cambridge, UK: Cambridge University Press.
5. Duffie, D. and Richardson, H. (1991) Mean-variance hedging in continuous time. Annals of Applied Probability 1 (1): 1–15.
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