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Pricing index options by static hedging under finite liquidity

Research output: Contribution to journalArticle

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Pricing index options by static hedging under finite liquidity. / Armstrong, John; Pennanen, Teemu August; Rakwongwan, Udomsak.

In: International Journal of Theoretical and Applied Finance, Vol. 21, No. 06, 27.09.2018.

Research output: Contribution to journalArticle

Harvard

Armstrong, J, Pennanen, TA & Rakwongwan, U 2018, 'Pricing index options by static hedging under finite liquidity', International Journal of Theoretical and Applied Finance, vol. 21, no. 06. https://doi.org/10.1142/S0219024918500449

APA

Armstrong, J., Pennanen, T. A., & Rakwongwan, U. (2018). Pricing index options by static hedging under finite liquidity. International Journal of Theoretical and Applied Finance, 21(06). https://doi.org/10.1142/S0219024918500449

Vancouver

Armstrong J, Pennanen TA, Rakwongwan U. Pricing index options by static hedging under finite liquidity. International Journal of Theoretical and Applied Finance. 2018 Sep 27;21(06). https://doi.org/10.1142/S0219024918500449

Author

Armstrong, John ; Pennanen, Teemu August ; Rakwongwan, Udomsak. / Pricing index options by static hedging under finite liquidity. In: International Journal of Theoretical and Applied Finance. 2018 ; Vol. 21, No. 06.

Bibtex Download

@article{0cbdc1be99b04ac4bdee429918ce6ea2,
title = "Pricing index options by static hedging under finite liquidity",
author = "John Armstrong and Pennanen, {Teemu August} and Udomsak Rakwongwan",
year = "2018",
month = sep,
day = "27",
doi = "10.1142/S0219024918500449",
language = "English",
volume = "21",
journal = "International Journal of Theoretical and Applied Finance",
number = "06",

}

RIS (suitable for import to EndNote) Download

TY - JOUR

T1 - Pricing index options by static hedging under finite liquidity

AU - Armstrong, John

AU - Pennanen, Teemu August

AU - Rakwongwan, Udomsak

PY - 2018/9/27

Y1 - 2018/9/27

U2 - 10.1142/S0219024918500449

DO - 10.1142/S0219024918500449

M3 - Article

VL - 21

JO - International Journal of Theoretical and Applied Finance

JF - International Journal of Theoretical and Applied Finance

IS - 06

ER -

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