Browsing Τμήμα Λογιστικής και Χρηματοοικονομικής / Department of Accounting and Finance by Subject "Options pricing"
Now showing items 1-1 of 1
-
Working Paper Open Access
Integrated dynamic models for hedging international portfolio
(The Wharton Financial Institutions CenterThe Wharton School, University of Pennsylvania, PA, 2017-12)We develop scenario-based stochastic programming models for hedging the risks of international portfolios using options. The models provide an increasing level of integration in managing market and foreign exchange (FX) ...