Trend derivatives: pricing, hedging, and application to executive stock options
Article Abstract:
The pricing and hedging of trend options, which are a class of trend derivatives, and the benefits offered by trend derivatives such as, their application to retirement plans and executive stock options, are analyzed.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2007
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Canonical valuation of options in the presence of stochastic volatility
Article Abstract:
A study on canonical valuation to price derivatives in different scenarios is furnished. Canonical valuation is a method put forth by M. Stutzer for valuing derivative securities under the risk-neutral framework
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2005
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Derivatives pricing model and time-series approaches to hedging: a comparison
Article Abstract:
A comparative analysis of derivative pricing model and time-series methods for hedging is presented.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2005
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