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Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging
Pricing options illiquid assets liquid proxies utility indifference dynamic-static hedging
2012/6/4
This work addresses the problem of optimal pricing and hedging of a European option on an illiquid asset Z using two proxies: a liquid asset S and a liquid European option on another liquid asset Y. W...
Semi-static hedging under exchangeability type conditions
Semi-static hedging exchangeability type conditions
2010/10/29
In this paper we analyse financial implications of exchangeability and similar properties
of finite dimensional random vectors. We show how these properties are reflected
in prices of some basket op...