Indifference pricing and hedging for volatility dervivatives
Year of publication: |
2007
|
---|---|
Authors: | Grasselli, M. R. ; Hurd, T. R. |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 14.2007, 4, p. 303-317
|
Subject: | Optionspreistheorie | Option pricing theory | Unvollkommener Markt | Incomplete market | Derivat | Derivative | Volatilität | Volatility | Swap | Theorie | Theory |
-
Hedging (co)variance risk with variance swaps
Fonseca, José da, (2011)
-
Pricing options in incomplete equity markets via the instantaneous Sharpe ratio
Bayraktar, Erhan, (2008)
-
Pricing of derivatives on mean-reverting assets
Lutz, Björn, (2010)
- More ...
-
A Monte Carlo method for exponential hedging of contingent claims
Grasselli, M. R., (2002)
-
Wiener Chaos and the Cox-Ingersoll-Ross model
Grasselli, M. R., (2003)
-
Indifference pricing and hedging in stochastic volatility models
Grasselli, M. R., (2004)
- More ...