Pricing exotic options under local volatility

Marc Decamps, Ann De Schepper () and Marc Goovaerts

Open Access publications from Katholieke Universiteit Leuven from Katholieke Universiteit Leuven

Keywords: Optimal; Optimal portfolio selection; Portfolio; Selection; Cash flow; Capital at risk; Risk; Pricing; Options (search for similar items in EconPapers)
Date: 2005
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Published in Tijdschrift voor Economie en Management (2005) v.L, p.49-68

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Journal Article: Pricing Exotic Options under Local Volatility (2005)
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