Matches in SemOpenAlex for { <https://semopenalex.org/work/W2105089175> ?p ?o ?g. }
Showing items 1 to 81 of
81
with 100 items per page.
- W2105089175 endingPage "379" @default.
- W2105089175 startingPage "361" @default.
- W2105089175 abstract "The paper focuses on the replication of digital options under an incomplete model. Digital options are regularly applied in the hedging and static decomposition of many path-dependent options. The author examines the performance of static and dynamic replication. He considers the case of a market agent for whom the right model of the underlying asset-price evolution is not available. The observed price dynamic is supposed to follow four distinct models: (i) the Black and Scholes model, (ii) the Black and Scholes model with stochastic volatility driven by Hull and White model, (iii) the variance gamma model, defined as time changed Brownian motion, and (iv) the variance gamma model set in a stochastic environment modelled as the rate of time change via a Cox-Ingersoll-Ross model. Both static and dynamic replication methods are applied and examined within each of these settings. The author verifies the independence of the static replication on underlying processes." @default.
- W2105089175 created "2016-06-24" @default.
- W2105089175 creator A5041023653 @default.
- W2105089175 date "2006-01-01" @default.
- W2105089175 modified "2023-10-16" @default.
- W2105089175 title "Model Dependency of the Digital Option Replication – Replication under an Incomplete Model (in English)" @default.
- W2105089175 cites W2031817855 @default.
- W2105089175 cites W2064978316 @default.
- W2105089175 cites W2077791698 @default.
- W2105089175 cites W2117306570 @default.
- W2105089175 cites W2148080284 @default.
- W2105089175 cites W2150976467 @default.
- W2105089175 cites W2157403008 @default.
- W2105089175 cites W3021444882 @default.
- W2105089175 cites W1990081136 @default.
- W2105089175 hasPublicationYear "2006" @default.
- W2105089175 type Work @default.
- W2105089175 sameAs 2105089175 @default.
- W2105089175 citedByCount "0" @default.
- W2105089175 crossrefType "posted-content" @default.
- W2105089175 hasAuthorship W2105089175A5041023653 @default.
- W2105089175 hasConcept C105795698 @default.
- W2105089175 hasConcept C106159729 @default.
- W2105089175 hasConcept C121955636 @default.
- W2105089175 hasConcept C12590798 @default.
- W2105089175 hasConcept C144237770 @default.
- W2105089175 hasConcept C149782125 @default.
- W2105089175 hasConcept C162324750 @default.
- W2105089175 hasConcept C196083921 @default.
- W2105089175 hasConcept C202655437 @default.
- W2105089175 hasConcept C21099588 @default.
- W2105089175 hasConcept C2780821815 @default.
- W2105089175 hasConcept C33923547 @default.
- W2105089175 hasConcept C41008148 @default.
- W2105089175 hasConcept C85393063 @default.
- W2105089175 hasConcept C91602232 @default.
- W2105089175 hasConceptScore W2105089175C105795698 @default.
- W2105089175 hasConceptScore W2105089175C106159729 @default.
- W2105089175 hasConceptScore W2105089175C121955636 @default.
- W2105089175 hasConceptScore W2105089175C12590798 @default.
- W2105089175 hasConceptScore W2105089175C144237770 @default.
- W2105089175 hasConceptScore W2105089175C149782125 @default.
- W2105089175 hasConceptScore W2105089175C162324750 @default.
- W2105089175 hasConceptScore W2105089175C196083921 @default.
- W2105089175 hasConceptScore W2105089175C202655437 @default.
- W2105089175 hasConceptScore W2105089175C21099588 @default.
- W2105089175 hasConceptScore W2105089175C2780821815 @default.
- W2105089175 hasConceptScore W2105089175C33923547 @default.
- W2105089175 hasConceptScore W2105089175C41008148 @default.
- W2105089175 hasConceptScore W2105089175C85393063 @default.
- W2105089175 hasConceptScore W2105089175C91602232 @default.
- W2105089175 hasLocation W21050891751 @default.
- W2105089175 hasOpenAccess W2105089175 @default.
- W2105089175 hasPrimaryLocation W21050891751 @default.
- W2105089175 hasRelatedWork W1528102045 @default.
- W2105089175 hasRelatedWork W1559194935 @default.
- W2105089175 hasRelatedWork W1984512433 @default.
- W2105089175 hasRelatedWork W1994619866 @default.
- W2105089175 hasRelatedWork W200080187 @default.
- W2105089175 hasRelatedWork W2013134717 @default.
- W2105089175 hasRelatedWork W2049336857 @default.
- W2105089175 hasRelatedWork W2098539282 @default.
- W2105089175 hasRelatedWork W2475845942 @default.
- W2105089175 hasRelatedWork W2594856295 @default.
- W2105089175 hasRelatedWork W2778796213 @default.
- W2105089175 hasRelatedWork W2791682935 @default.
- W2105089175 hasRelatedWork W2911092107 @default.
- W2105089175 hasRelatedWork W293775084 @default.
- W2105089175 hasRelatedWork W3102966423 @default.
- W2105089175 hasRelatedWork W3123904071 @default.
- W2105089175 hasRelatedWork W3124437785 @default.
- W2105089175 hasRelatedWork W3135243710 @default.
- W2105089175 hasRelatedWork W3137561227 @default.
- W2105089175 hasRelatedWork W3151265610 @default.
- W2105089175 hasVolume "56" @default.
- W2105089175 isParatext "false" @default.
- W2105089175 isRetracted "false" @default.
- W2105089175 magId "2105089175" @default.
- W2105089175 workType "article" @default.