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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