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

Publications:

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

Acknowledgement of Country

UTS acknowledges the Gadigal people of the Eora Nation, the Boorooberongal people of the Dharug Nation, the Bidiagal people and the Gamaygal people, upon whose ancestral lands our university stands. We would also like to pay respect to the Elders both past and present, acknowledging them as the traditional custodians of knowledge for these lands.