Mathematical foundation of convexity correction

A. Pelsser*

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

Original languageEnglish
Pages (from-to)59-65
Number of pages7
JournalQuantitative Finance
Volume3
Issue number1
DOIs
Publication statusPublished - Feb 2003
Externally publishedYes
EventConference on Quantitative Methods in Finance (QMF 2002) - CAIRNS, Australia
Duration: 9 Dec 200219 Dec 2002

Keywords

  • OPTION

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