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PRICING OF RAINBOW OPTIONS: GAME THEORETIC APPROACH - MaRDI portal

PRICING OF RAINBOW OPTIONS: GAME THEORETIC APPROACH (Q3502817)

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scientific article
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English
PRICING OF RAINBOW OPTIONS: GAME THEORETIC APPROACH
scientific article

    Statements

    title
    PRICING OF RAINBOW OPTIONS: GAME THEORETIC APPROACH (English)
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    author
    Z. Hucki
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    publication date
    20 May 2008
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    zbMATH Keywords
    coloured (or rainbow) options
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    explicit formulas for hedge
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    transaction costs
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    interval model
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    submodular functions
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    Identifiers

    zbMATH DE Number
    5276967
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    OpenAlex ID
    W2033750066
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