An Option Pricing Formula for Active Hedging Under Logarithmic Investment Strategy

An Option Pricing Formula for Active Hedging Under Logarithmic Investment Strategy

Classic options can no longer meet the diversified needs of investors; thus, it is of great significance to construct and price new options for enriching the financial market. This paper proposes a new option pricing model that integrates the logarithmic investment strategy with the classic Black–Sc...

पूर्ण विवरण

ग्रंथसूची विवरण
मुख्य लेखकों: Minting Zhu, Mancang Wang, Jingyu Wu
स्वरूप: लेख
भाषा:English
प्रकाशित: MDPI AG 2024-12-01
श्रृंखला:Mathematics
विषय:
put option
Black–Scholes option pricing model
logarithmic investment strategy
risk management
numerical simulations
ऑनलाइन पहुंच:https://www.mdpi.com/2227-7390/12/23/3874

इंटरनेट

https://www.mdpi.com/2227-7390/12/23/3874

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