Continuously controlled options: derivatives with added flexibility
The paper introduces special options such that the holder selects dynamically a continuous time process controlling the distribution of the payments (benefits) over time. For instance, the holder can select dynamically the quantity of a commodity purchased or sold by a fixed price given constraints...
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| Format: | Journal Article |
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World Scientific
2013
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| Online Access: | http://hdl.handle.net/20.500.11937/18368 |