A Note on the Suboptimality of Path-Dependent Pay-Offs in Levy Markets
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- Fajardo, José & Corcuera, José Manuel & Menouken Pamen, Olivier, 2016. "On the optimal investment," MPRA Paper 71901, University Library of Munich, Germany.
- Rüschendorf Ludger & Wolf Viktor, 2015. "Cost-efficiency in multivariate Lévy models," Dependence Modeling, De Gruyter Open, vol. 3(1), pages 1-16, April.
- Martin Wallmeier, 2011. "Beyond payoff diagrams: how to present risk and return characteristics of structured products," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(3), pages 313-338, September.
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KeywordsPath-dependent pay-offs; Levy markets;
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