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Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
Kramkov, D.O. - University of Bonn, Germany - 1994
Let M(X) be a family of all equivalent local martingale measures for some locally bounded d-dimensional process X, and V be a positive process. Main result of the paper (Theorem 2.1) states that the process V is a supermartingale whatever Q in M(X), if and only if this process admits the...
Persistent link: https://www.econbiz.de/10004968206
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A Systematic Approach to Pricing and Hedging of International Derivatives with Interest-Rate Risk
Frey, Rüdiger; Sommer, Daniel - University of Bonn, Germany - 1995
We deal with the valuration and hedging of non path-dependent European options on one or several underlyings in a model … provide a unified and easily applicable approach to pricing and hedging Black-Scholes type options on stocks, bonds, forwards …. futures and exchange rates. We also cover the pricing and hedging of options to exchange two Black-Scholes type options for …
Persistent link: https://www.econbiz.de/10004968300
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Probabilistic aspects of options
Foellmer, Hans - University of Bonn, Germany
Persistent link: https://www.econbiz.de/10005001480
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On the Approximation of Random Variables by Stochastic Integrals with Respect to Semimartingales
Christopeit, Norbert - University of Bonn, Germany - 1994
In this paper it is shown that the space of stochastic integrals w.r. to a special semimartingal is closed and hence every square integrable random variable admits a best approximation in this space. In terms of financial economics this means that for every contingent claim there exists a...
Persistent link: https://www.econbiz.de/10005085669
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Continuous-Time Term Structure Models
Musiela, Marek; Rutkowski, Marek - University of Bonn, Germany - 1996
pagehe problem of term structure of interest rates modelling is considered in a continuous-time framework. The emphasis is on the bond prices, forward bond prices or LIBOR rates, rather than on the instantaneous rates as in the traditional models. Forward and spot probability measures are...
Persistent link: https://www.econbiz.de/10005085674
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Maximal Arbitrage
Schürger, Klaus - University of Bonn, Germany - 2002
Let S=(S_t), t=0,1,...,T (T being finite), be an adapted R^d-valued process. Each component process of S might be interpreted as the price process of a certain security. A trading strategy H=(H_t), t= 1,...,T, is a predictable R^d-valued process. A strategy H is called extreme if it represents a...
Persistent link: https://www.econbiz.de/10005085680
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The Effect of Secondary Markets on Equity-Linked Life Insurance with Surrender Guarantees
Hilpert, Christian; Li, Jing; Szimayer, Alexander - University of Bonn, Germany - 2011
We study the effect of secondary markets on equity-linked life insurance contracts with surrender guarantees. The policyholders are assumed to be boundedly rational in giving up their contracts, and a proportion of policyholders will access the secondary markets instead of surrendering the...
Persistent link: https://www.econbiz.de/10009651600
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Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions
Dudenhausen, Antje - University of Bonn, Germany - 2002
We consider a standard two-player all-pay auction with private values, where the valuation for the object is private information to each bidder. The crucial feature is that one bidder is favored by the allocation rule in the sense that he need not bid as much as the other bidder to win the...
Persistent link: https://www.econbiz.de/10005001489
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Default Risk, Bankruptcy Procedures and the Market Value of Life Insurance Liabilities
Chen, An; Suchanecki, Michael - University of Bonn, Germany - 2006
-called standard and cumulative Parisian barrier option frameworks. It is shown that these options have appealing interpretations in …
Persistent link: https://www.econbiz.de/10005001505
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Produktdesign und Semi-Statische Absicherung von Turbo-Zertifikaten
Mahayni, Antje; Suchanecki, Michael - University of Bonn, Germany - 2005
regarded as special forms of barrier options. The relation between the barrier level and the strike price is especially … certificate nor a portfolio of certificates without using standard options. …
Persistent link: https://www.econbiz.de/10005001506