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Suboptimality of Asian Executive Indexed Options
Suboptimality ... H4 = 110 K = 90 Sample Price Paths Stock, S Benchmark, H Strike, K • Sˆ4 = 4 √ S1S2S3S4 = ... 8 0.9 1 Payoffs P ro b a b il it y d is tr ib u ti o n Empirial CDFs of AT , A ⋆ T and AˆT ...- Authors: Phelim Boyle, Jit Seng Chen, Carole L Bernard
- Date: Aug 2011
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives