Deprecated: $wgMWOAuthSharedUserIDs=false is deprecated, set $wgMWOAuthSharedUserIDs=true, $wgMWOAuthSharedUserSource='local' instead [Called from MediaWiki\HookContainer\HookContainer::run in /var/www/html/w/includes/HookContainer/HookContainer.php at line 135] in /var/www/html/w/includes/Debug/MWDebug.php on line 372
Super-replication of life-contingent options under the Black-Scholes framework - MaRDI portal

Super-replication of life-contingent options under the Black-Scholes framework

From MaRDI portal

Publication:6639530

Jump to:navigation, search

DOI10.1017/jpr.2024.10MaRDI QIDQ6639530

You-Beng Koh, Hailiang Yang, Tee-How Loo, Ze-An Ng

Publication date: 15 November 2024

Published in: Journal of Applied Probability (Search for Journal in Brave)

zbMATH Keywords

option pricing stochastic analysis exotic options option hedging

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

This page was built for publication: Super-replication of life-contingent options under the Black-Scholes framework

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Publication:6639530&oldid=40205752"