FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W1907556211> ?p ?o ?g. }

• W1907556211 endingPage "850" @default.
• W1907556211 startingPage "819" @default.
• W1907556211 abstract "Abstract A Parisian option is a variant of a barrier option such that its payment is activated or deactivated only if the underlying asset remains above or below a barrier over a certain amount of time. We show that its complex payoff feature can cause dynamic hedging to fail. As an alternative, we investigate a quasi‐static hedge of Parisian options under a more general jump‐diffusion process. Specifically, we propose a strategy of decomposing a Parisian option into the sum of other contingent claims which are statically hedged. Through numerical experiments, we show the effectiveness of the suggested hedging strategy. © 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:819–850, 2016" @default.
• W1907556211 created "2016-06-24" @default.
• W1907556211 creator A5007374242 @default.
• W1907556211 creator A5069125648 @default.
• W1907556211 date "2015-10-13" @default.
• W1907556211 modified "2023-10-16" @default.
• W1907556211 title "Risk Analysis and Hedging of Parisian Options under a Jump-Diffusion Model" @default.
• W1907556211 cites W1590164588 @default.
• W1907556211 cites W1942974067 @default.
• W1907556211 cites W1970777372 @default.
• W1907556211 cites W1991317019 @default.
• W1907556211 cites W2003122452 @default.
• W1907556211 cites W2003192789 @default.
• W1907556211 cites W2015502763 @default.
• W1907556211 cites W2016090747 @default.
• W1907556211 cites W2018883703 @default.
• W1907556211 cites W2030477293 @default.
• W1907556211 cites W2069193625 @default.
• W1907556211 cites W2069711602 @default.
• W1907556211 cites W2069813186 @default.
• W1907556211 cites W2093453879 @default.
• W1907556211 cites W2157954588 @default.
• W1907556211 cites W3099548334 @default.
• W1907556211 cites W3121334035 @default.
• W1907556211 cites W3122167020 @default.
• W1907556211 cites W3123310357 @default.
• W1907556211 cites W3124164925 @default.
• W1907556211 cites W4230582149 @default.
• W1907556211 cites W4243294389 @default.
• W1907556211 cites W4249166261 @default.
• W1907556211 cites W4252601252 @default.
• W1907556211 doi "https://doi.org/10.1002/fut.21757" @default.
• W1907556211 hasPublicationYear "2015" @default.
• W1907556211 type Work @default.
• W1907556211 sameAs 1907556211 @default.
• W1907556211 citedByCount "4" @default.
• W1907556211 countsByYear W19075562112016 @default.
• W1907556211 countsByYear W19075562112019 @default.
• W1907556211 countsByYear W19075562112020 @default.
• W1907556211 countsByYear W19075562112023 @default.
• W1907556211 crossrefType "journal-article" @default.
• W1907556211 hasAuthorship W1907556211A5007374242 @default.
• W1907556211 hasAuthorship W1907556211A5069125648 @default.
• W1907556211 hasConcept C10138342 @default.
• W1907556211 hasConcept C121332964 @default.
• W1907556211 hasConcept C138885662 @default.
• W1907556211 hasConcept C144237770 @default.
• W1907556211 hasConcept C145097563 @default.
• W1907556211 hasConcept C149782125 @default.
• W1907556211 hasConcept C162118730 @default.
• W1907556211 hasConcept C162324750 @default.
• W1907556211 hasConcept C18903297 @default.
• W1907556211 hasConcept C22171661 @default.
• W1907556211 hasConcept C2776401178 @default.
• W1907556211 hasConcept C2776631005 @default.
• W1907556211 hasConcept C2779664328 @default.
• W1907556211 hasConcept C2780695682 @default.
• W1907556211 hasConcept C38652104 @default.
• W1907556211 hasConcept C41008148 @default.
• W1907556211 hasConcept C41895202 @default.
• W1907556211 hasConcept C62520636 @default.
• W1907556211 hasConcept C69357855 @default.
• W1907556211 hasConcept C70771513 @default.
• W1907556211 hasConcept C76178495 @default.
• W1907556211 hasConcept C86803240 @default.
• W1907556211 hasConcept C97355855 @default.
• W1907556211 hasConceptScore W1907556211C10138342 @default.
• W1907556211 hasConceptScore W1907556211C121332964 @default.
• W1907556211 hasConceptScore W1907556211C138885662 @default.
• W1907556211 hasConceptScore W1907556211C144237770 @default.
• W1907556211 hasConceptScore W1907556211C145097563 @default.
• W1907556211 hasConceptScore W1907556211C149782125 @default.
• W1907556211 hasConceptScore W1907556211C162118730 @default.
• W1907556211 hasConceptScore W1907556211C162324750 @default.
• W1907556211 hasConceptScore W1907556211C18903297 @default.
• W1907556211 hasConceptScore W1907556211C22171661 @default.
• W1907556211 hasConceptScore W1907556211C2776401178 @default.
• W1907556211 hasConceptScore W1907556211C2776631005 @default.
• W1907556211 hasConceptScore W1907556211C2779664328 @default.
• W1907556211 hasConceptScore W1907556211C2780695682 @default.
• W1907556211 hasConceptScore W1907556211C38652104 @default.
• W1907556211 hasConceptScore W1907556211C41008148 @default.
• W1907556211 hasConceptScore W1907556211C41895202 @default.
• W1907556211 hasConceptScore W1907556211C62520636 @default.
• W1907556211 hasConceptScore W1907556211C69357855 @default.
• W1907556211 hasConceptScore W1907556211C70771513 @default.
• W1907556211 hasConceptScore W1907556211C76178495 @default.
• W1907556211 hasConceptScore W1907556211C86803240 @default.
• W1907556211 hasConceptScore W1907556211C97355855 @default.
• W1907556211 hasIssue "9" @default.
• W1907556211 hasLocation W19075562111 @default.
• W1907556211 hasOpenAccess W1907556211 @default.
• W1907556211 hasPrimaryLocation W19075562111 @default.
• W1907556211 hasRelatedWork W1907556211 @default.
• W1907556211 hasRelatedWork W2288042208 @default.
• W1907556211 hasRelatedWork W2352779812 @default.
• W1907556211 hasRelatedWork W2362743624 @default.
• W1907556211 hasRelatedWork W2507439616 @default.

• next