Pricing and hedging look-back power options
نویسندگان
چکیده
منابع مشابه
Pricing and Hedging Spread Options
We survey the theoretical and the computational problems associated with the pricing of spread options. These options are ubiquitous in the financial markets, whether they be equity, fixed income, foreign exchange, commodities, or energy markets. As a matter of introduction, we present a general overview of the common features of all the spread options by discussing in detail their roles as spe...
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Do long-term and short-term options contain di!erential information? If so, can long-term options better di!erentiate among alternative models? To answer these questions, we "rst demonstrate analytically that di!erences among alternative models usually may not surface when applied to short-term options, but do so when applied to longterm contracts. Using S&P 500 options and LEAPS, we "nd that s...
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ژورنال
عنوان ژورنال: Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
سال: 2015
ISSN: 2188-4730,2188-4749
DOI: 10.5687/sss.2015.108