Black-Scholes theory for an underlying with multiple attractors

Herzberg, Frederik

[journal article]

dc.contributor.author	Herzberg, Frederik	de
dc.date.accessioned	2011-02-23T03:45:00Z	de
dc.date.accessioned	2012-08-29T23:07:04Z
dc.date.available	2012-08-29T23:07:04Z
dc.date.issued	2008	de
dc.identifier.uri	http://www.ssoar.info/ssoar/handle/document/22108
dc.description.abstract	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.	en
dc.language	en	de
dc.subject.ddc	Wirtschaft	de
dc.subject.ddc	Economics	en
dc.subject.other	Imperfections; Derivatives Pricing; Modelling Asset Price Dynamics; Nonequilibrium Systems
dc.title	Black-Scholes theory for an underlying with multiple attractors	en
dc.description.review	begutachtet (peer reviewed)	de
dc.description.review	peer reviewed	en
dc.source.journal	Quantitative Finance	de
dc.source.volume	8	de
dc.publisher.country	GBR
dc.source.issue	5	de
dc.subject.classoz	Basic Research, General Concepts and History of Economics	en
dc.subject.classoz	Economic Statistics, Econometrics, Business Informatics	en
dc.subject.classoz	Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik	de
dc.subject.classoz	Allgemeines, spezielle Theorien und Schulen, Methoden, Entwicklung und Geschichte der Wirtschaftswissenschaften	de
dc.identifier.urn	urn:nbn:de:0168-ssoar-221089	de
dc.date.modified	2011-03-15T13:32:00Z	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	en
ssoar.gesis.collection	SOLIS;ADIS	de
ssoar.contributor.institution	http://www.peerproject.eu/	de
internal.status	3	de
dc.type.stock	article	de
dc.type.document	journal article	en
dc.type.document	Zeitschriftenartikel	de
dc.rights.copyright	f	de
dc.source.pageinfo	453-457
internal.identifier.classoz	10905
internal.identifier.classoz	10901
internal.identifier.document	32
internal.identifier.ddc	330
dc.identifier.doi	https://doi.org/10.1080/14697680701518035	de
dc.subject.methods	Theorieanwendung	de
dc.subject.methods	theory application	en
dc.description.pubstatus	Postprint	en
dc.description.pubstatus	Postprint	de
internal.identifier.licence	7
internal.identifier.methods	15
internal.identifier.pubstatus	2
internal.identifier.review	1
internal.check.abstractlanguageharmonizer	CERTAIN
internal.check.languageharmonizer	CERTAIN_RETAINED

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Allgemeines, spezielle Theorien und "Schulen", Methoden, Entwicklung und Geschichte der Wirtschaftswissenschaften
Basic Research, General Concepts and History of Economics
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Economic Statistics, Econometrics, Business Informatics

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