Journal article | Zeitschriftenartikel
Black-Scholes theory for an underlying with multiple attractors
A valuation theory for derivatives on an underlying that is subject to multiple attractors is proposed, the economic justification being attraction-adjusted hedging. In non-critical regions -- outside the boundaries of the attractor regions -- a European option price can be viewed as a derivative on an underlying with a mean-reverting law, such as a commodity price, however with a different payoff function.
- Extent
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Seite(n): 453-457
- Language
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Englisch
- Notes
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Status: Postprint; begutachtet (peer reviewed)
- Bibliographic citation
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Quantitative Finance, 8(5)
- Subject
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Wirtschaft
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Allgemeines, spezielle Theorien und Schulen, Methoden, Entwicklung und Geschichte der Wirtschaftswissenschaften
Theorieanwendung
- Event
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Geistige Schöpfung
- (who)
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Herzberg, Frederik
- Event
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Veröffentlichung
- (where)
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Vereinigtes Königreich
- (when)
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2008
- DOI
- URN
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urn:nbn:de:0168-ssoar-221089
- Rights
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GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Last update
-
21.06.2024, 4:27 PM CEST
Data provider
This object is provided by:
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln. If you have any questions about the object, please contact the data provider.
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln. If you have any questions about the object, please contact the data provider.
Object type
- Zeitschriftenartikel
Associated
- Herzberg, Frederik
Time of origin
- 2008
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