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Discretely adjusted option hedges

, и . Journal of Financial Economics, 8 (3): 259--282 (сентября 1980)

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Christine Boyle

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Applications of randomized low discrepancy sequences to the valuation of complex securities, и . Journal of Economic Dynamics and Control, 24 (11-12): 1747--1782 (октября 2000)Options: A Monte Carlo approach. Journal of Financial Economics, 4 (3): 323--338 (мая 1977)The impact of variance estimation in option valuation models, и . Journal of Financial Economics, 5 (3): 375--387 (декабря 1977)The Riccati Equation in Mathematical Finance., , и . J. Symb. Comput., 33 (3): 343-355 (2002)Bounds on contingent claims based on several assets, и . Journal of Financial Economics, 46 (3): 383--400 (декабря 1997)Calibrating the Black-Derman-Toy model: some theoretical results, , и . Applied Mathematical Finance, 8 (1): 27--48 (2001)Monitoring mortality : A state-space approach, и . Journal of Econometrics, 23 (1): 131--146 (сентября 1983)Discretely adjusted option hedges, и . Journal of Financial Economics, 8 (3): 259--282 (сентября 1980)An improved simulation method for pricing high-dimensional American derivatives., , и . Math. Comput. Simul., 62 (3-6): 315-322 (2003)An explicit finite difference approach to the pricing of barrier options. Applied Mathematical Finance, 5 (1): 17--43 (1998)