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Additive logistic processes in option pricing
Carr, Peter; Torricelli, Lorenzo - In: Finance and stochastics 25 (2021) 4, pp. 689-724
Persistent link: https://www.econbiz.de/10012665200
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Do index funds speculate on agricultural futures markets? Explanatory notes on the business model and the additional need for research
Prehn, Sören; Glauben, Thomas; Pies, Ingo; Will, … - Leibniz-Institut für Agrarentwicklung in … - 2013
Huge number of transactions of index funds on agricultural futures markets have been criticized by the media and many … prices. Therefore, trade restrictions by position or price limits may significantly harm the functioning of futures markets … and will likely not solve the problem of volatile futures and cash market prices. …
Persistent link: https://www.econbiz.de/10010980669
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Do index funds speculate on agricultural futures markets? Explanatory notes on the business model and the additional need for research
Prehn, Sören; Glauben, Thomas; Pies, Ingo; Will, … - 2013
Huge number of transactions of index funds on agricultural futures markets have been criticized by the media and many … prices. Therefore, trade restrictions by position or price limits may significantly harm the functioning of futures markets … and will likely not solve the problem of volatile futures and cash market prices. …
Persistent link: https://www.econbiz.de/10010331328
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Essays on derivatives pricing in incomplete markets
Gerer, Johannes - 2016
Persistent link: https://www.econbiz.de/10012128861
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A dynamic programming approach for pricing weather derivatives under issuer default risk
Härdle, Wolfgang; Osipenko, Maria - In: International Journal of Financial Studies : open … 5 (2017) 4, pp. 1-18
risk can transfer it to financial markets via weather derivatives. We develop a utility-based model for pricing baskets of …
Persistent link: https://www.econbiz.de/10011760235
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Hedging costs and joint determinants of premiums and spreads in structured financial products
Entrop, Oliver; Fischer, Georg - 2019
This paper is the first to analyze the joint determinants of premiums and spreads in structured financial products, while also focusing on issuers' hedging costs. We evaluate more than 396,000 single stock discount certificates on an intraday basis in the German secondary market. We find that...
Persistent link: https://www.econbiz.de/10011960799
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Moderators of pricing and willingness to pay for parametric weather risk mitigants in agriculture : an integrative review, conceptual framework, and research agenda
Gairola, Gaurav; Dey, Kushankur - In: Cogent economics & finance 11 (2023) 2, pp. 1-23
that captures the moderators accelerating and inhibiting pricing structure and willingness to pay for parametric weather … interdependencies between pricing structure and willingness to pay for parametric weather risk mitigants. This study bridges this gap by … categorizes the extant literature into five focal areas: (1) weather analytics capability; (2) design, pricing, and testing; (3 …
Persistent link: https://www.econbiz.de/10014502820
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Analytical view of pricing weather and freight derivatives : 1950-2020
Sekhar, G. V. Satya - In: Review of Pacific Basin financial markets and policies … 26 (2023) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10014305115
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Central Bank Intervention and Exchange Rate Expectations: Evidence from the Daily DM/US-Dollar Exchange Rate
Reitz, Stefan - 2002
In this paper we propose a generalisation of the noise trader transmission mechanism to examine the impact of central bank intervention on exchange rates. Within a heterogeneous expectations exchange rate model intervention operations are supposed to provide support to either chartist or...
Persistent link: https://www.econbiz.de/10010295734
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Central Bank Intervention and Exchange Rate Expectations: Evidence from the Daily DM/US-Dollar Exchange Rate
Reitz, Stefan - Deutsche Bundesbank - 2002
In this paper we propose a generalisation of the noise trader transmission mechanism to examine the impact of central bank intervention on exchange rates. Within a heterogeneous expectations exchange rate model intervention operations are supposed to provide support to either chartist or...
Persistent link: https://www.econbiz.de/10005059033