Pricing Illiquid Options with $N+1$ Liquid Proxies Using Mixed Dynamic-Static Hedging
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References listed on IDEAS
- Anders B. Trolle & Eduardo S. Schwartz, 2009. "Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives," Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4423-4461, November.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-09-30 (All new papers)
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