Pricing options on illiquid assets with liquid proxies...

Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging

Halperin, Igor, Itkin, Andrey
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Volume:
14
Language:
english
Journal:
Quantitative Finance
DOI:
10.1080/14697688.2013.816766
Date:
March, 2014
File:
PDF, 1.12 MB
english, 2014
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