No-Arbitrage and Hedging with Liquid American Options.
Erhan BayraktarZhou ZhouPublished in: Math. Oper. Res. (2019)
Keyphrases
- option pricing
- stock price
- financial markets
- stock market
- black scholes
- stock exchange
- non stationary
- payoff functions
- united states
- historical data
- news articles
- exchange rate
- financial data
- boundary conditions
- mathematical model
- portfolio optimization
- convertible bonds
- real time
- case study
- information retrieval
- databases