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- W2480871212 abstract "Until now, we have studied a few products using simple models. To build the fair value, we need to fully understand the way to hedge. We shall describe the fair value from the point of view of an investment bank, that is from the sell side. In particular, the hedging portfolio immunizes the book against spot and volatility movements.KeywordsStochastic VolatilityStochastic Volatility ModelFair PriceHedging StrategyBarrier OptionThese keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves." @default.
- W2480871212 created "2016-08-23" @default.
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- W2480871212 date "2015-01-01" @default.
- W2480871212 modified "2023-09-25" @default.
- W2480871212 title "What is the Fair Value in the Presence of the Smile?" @default.
- W2480871212 doi "https://doi.org/10.1057/9781137414502_4" @default.
- W2480871212 hasPublicationYear "2015" @default.
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