PRICING ILLIQUID OPTIONS WITH N + 1 LIQUID PROXIES USING MIXED DYNAMIC-STATIC HEDGING (Q5746923)
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scientific article; zbMATH DE number 6256761
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING ILLIQUID OPTIONS WITH N + 1 LIQUID PROXIES USING MIXED DYNAMIC-STATIC HEDGING |
scientific article; zbMATH DE number 6256761 |
Statements
PRICING ILLIQUID OPTIONS WITH N + 1 LIQUID PROXIES USING MIXED DYNAMIC-STATIC HEDGING (English)
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11 February 2014
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incomplete market
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indifference pricing
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illiquid option
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dynamic/static hedge
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HJB equation
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operator splitting method
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