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, A, Kordzakhia, N & Ling, T 2014, 'Pricing of Volume-Weighted Average Options: Analytical Approximations and Numerical Results' in Kabanov, Y, Rutkowski, M & Zariphopoulou, T (eds), Inspired by Finance, Springer, London, pp. 461-474.
View/Download from: Publisher's site
FOR Codes: Operations Research, Expanding Knowledge in the Mathematical Sciences