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%T Black-Scholes theory for an underlying with multiple attractors %A Herzberg, Frederik %J Quantitative Finance %N 5 %P 453-457 %V 8 %D 2008 %K Imperfections; Derivatives Pricing; Modelling Asset Price Dynamics; Nonequilibrium Systems %= 2011-03-15T13:32:00Z %~ http://www.peerproject.eu/ %> https://nbn-resolving.org/urn:nbn:de:0168-ssoar-221089 %X A valuation theory for derivatives on an underlying that is subject to multiple attractors is proposed, the economic justification being attraction-adjusted hedging. In non-critical regions -- outside the boundaries of the attractor regions -- a European option price can be viewed as a derivative on an underlying with a mean-reverting law, such as a commodity price, however with a different payoff function. %C GBR %G en %9 journal article %W GESIS - http://www.gesis.org %~ SSOAR - http://www.ssoar.info