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Static Hedging Under Maturity Mismatch
Mayer, Philipp - 2013
Can shorter maturity European options be statically hedged with longer maturity plain vanilla options? This problem … modelling assumptions. The results can be extended to formulating semi-static hedging strategies for discretely monitored path …
Persistent link: https://www.econbiz.de/10013092003
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Corporate bond valuation and hedging with stochastic interest rates and endogenous bankruptcy
Acharya, Viral V. (contributor);  … - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001700287
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Cluster Innovation Strategy Risk Management Using a Real Put Option to Abandon a Strategy
Yashin, Sergey - 2017
The subject of investigation includes the issue of adjusting an innovation strategy of an industrial innovation cluster under uncertain behavior of the external and internal environment. With that in mind, a possibility is regarded as to abandon the cluster strategy that has already been...
Persistent link: https://www.econbiz.de/10012946336
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Hedging Macroeconomic and Financial Uncertainty and Volatility
Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - 2021
risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while …
Persistent link: https://www.econbiz.de/10013224964
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Mean Square Error for the Leland-Lott Hedging Strategy : Convex Pay-Off
Lepinette, Emmanuel - 2012
Leland's approach to the hedging of derivatives under proportional transaction costs is based on an approximate …
Persistent link: https://www.econbiz.de/10013107816
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Hedging Macroeconomic and Financial Uncertainty and Volatility
Dew-Becker, Ian - 2019
We study the pricing of shocks to uncertainty and volatility using a novel and wide-ranging set of options contracts. If uncertainty shocks are viewed as bad by investors, portfolios that hedge them should earn negative premia. Empirically, however, such portfolios have historically earned...
Persistent link: https://www.econbiz.de/10012897413
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Robust hedging with proportional transaction costs
Dolinsky, Yan; Soner, Halil Mete - 2013
Duality for robust hedging with proportional transaction costs of path dependent European options is obtained in a … position in vanilla options which can be exercised at maturity. Only stock trading is subject to proportional transaction costs …. The main theorem is duality between hedging and a Monge-Kantorovich type optimization problem. In this dual transport …
Persistent link: https://www.econbiz.de/10009750655
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Handelsstrategien mit Mindestgarantien : eine analytische Beschreibung
Balder, Sven (contributor) - 2009
Persistent link: https://www.econbiz.de/10003825504
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Dynamic Asset Allocation With Options
Clark, Joseph - 2020
We derive replicating portfolios for some commonly used dynamic trading rules. In particular, we show that two commonly used dynamic rules can be replicated with static option portfolios. These replicating portfolios are more precise than the corresponding dynamic rules in the sense that the...
Persistent link: https://www.econbiz.de/10012838790
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Hedging Macroeconomic and Financial Uncertainty and Volatility
Dew-Becker, Ian - 2019
risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while …
Persistent link: https://www.econbiz.de/10012480268