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Pricing, Calibration and Hedging of Options on Volume Weighted Average Prices

Project Member(s): Novikov, A.

Funding or Partner Organisation: Commonwealth Scientific and Industrial Research Organisation (Commonwealth Scientific & Industrial Research Organisation)

Start year: 2012


Novikov, AA, Ling, TG & Kordzakhia, N 2014, 'Pricing of Volume-Weighted Average Options: Analytical Approximations and Numerical Results' in Kabanov, Y, Rutkowski, M & Zariphopoulou, T (eds), Inspired by Finance, Springer International Publishing, London, pp. 461-474.
View/Download from: Publisher's site

FOR Codes: Operations Research, Expanding Knowledge in the Mathematical Sciences