Black-Scholes theory for an underlying with multiple attractors
Abstract: 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
- Location
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Deutsche Nationalbibliothek Frankfurt am Main
- Extent
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Online-Ressource
- Language
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Englisch
- Notes
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Postprint
begutachtet (peer reviewed)
In: Quantitative Finance ; 8 (2008) 5 ; 453-457
- Classification
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Wirtschaft
- Event
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Veröffentlichung
- (where)
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Mannheim
- (when)
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2008
- Creator
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Herzberg, Frederik
- DOI
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10.1080/14697680701518035
- URN
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urn:nbn:de:0168-ssoar-221089
- Rights
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Open Access unbekannt; Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
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15.08.2025, 7:20 AM CEST
Data provider
This object is provided by:
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Deutsche Nationalbibliothek. If you have any questions about the object, please contact the data provider.
Associated
- Herzberg, Frederik
Time of origin
- 2008
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