Bibtex export
@article{ Herzberg2008, title = {Black-Scholes theory for an underlying with multiple attractors}, author = {Herzberg, Frederik}, journal = {Quantitative Finance}, number = {5}, pages = {453-457}, volume = {8}, year = {2008}, doi = {https://doi.org/10.1080/14697680701518035}, urn = {https://nbn-resolving.org/urn:nbn:de:0168-ssoar-221089}, 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.}, }