Mateusz Maj

affiliation not provided to SSRN

SCHOLARLY PAPERS

1

DOWNLOADS

261

TOTAL CITATIONS

1

Scholarly Papers (1)

Actions:
Email selected abstracts
1.

A Note on the Suboptimality of Path-Dependent Pay-Offs in Levy Markets

Final version in Applied Mathematical Finance, Vol. 16, No. 4, pp 315-330
Number of pages: 17 Posted: 30 Oct 2007 Last Revised: 14 Feb 2012
Steven Vanduffel, Andrew Chernih, Mateusz Maj and Wim Schoutens
Vrije Universiteit Brussel (VUB), affiliation not provided to SSRN, affiliation not provided to SSRN and KU Leuven - Department of Mathematics
Downloads 261 (253,132)
Citation 1

Abstract:

Loading...

Financial Structured Product, CPPI, Asian Option, Optimal investment, Mean Variance, Markowitz, Lévy Process, Exponential tilting, CAPM, Esscher transform