HEDGING AND ARBITRAGE WARRANTS UNDER SMILE EFFECTS: ANALYSIS AND EVIDENCE

DOI10.1142/S0219024901001255zbMath1153.91471OpenAlexW2081232031WikidataQ130196132 ScholiaQ130196132MaRDI QIDQ3523598

Camus Chang, Son-Nan Chen, An-Pin Chen

Publication date: 3 September 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024901001255

zbMATH Keywords

arbitragevolatility smileimplied volatilitywarranthedge

Mathematics Subject Classification ID

Cites Work

• The Pricing of Options and Corporate Liabilities
• Option pricing: A simplified approach

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