Efficient Computation of Hedging Parameters for Discretely Exercisable Options.
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| Title: | Efficient Computation of Hedging Parameters for Discretely Exercisable Options. |
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| Authors: | Kaniel, Ron1 ron.kaniel@duke.edu, Tompaidis, Stathis2 stathis.tompaidis@mccombs.utexas.edu, Zemlianov, Alexander3 alex.zemlianov@lehman.com |
| Source: | Operations Research. Jul/Aug2008, Vol. 56 Issue 4, p811-826. 16p. 5 Charts, 2 Graphs. |
| Database: | Business Source Ultimate |
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