Showing 1 - 10 of 72
Persistent link: https://www.econbiz.de/10014228004
Persistent link: https://www.econbiz.de/10014286643
Persistent link: https://www.econbiz.de/10011532751
The importance of collateralization through the change of funding cost is now well recognized among practitioners. In this article, we have extended the previous studies of collateralized derivative pricing to more generic situation, that is asymmetric and imperfect collateralization with the...
Persistent link: https://www.econbiz.de/10013131969
Persistent link: https://www.econbiz.de/10009679953
explicit optimal portfolios or hedging strategies under realistic assumptions …
Persistent link: https://www.econbiz.de/10013111226
Persistent link: https://www.econbiz.de/10009269373
In recent years, we have observed the dramatic increase of the use of collateral as an important credit risk mitigation tool. It has become even rare to make a contract without collateral agreement among the major financial institutions. In addition to the significant reduction of the...
Persistent link: https://www.econbiz.de/10013143724
This paper proposes a new hedging scheme of European derivatives under uncertain volatility environments, in which a … weighted variance swap called the polynomial variance swap is added to the Black-Scholes delta hedging for managing exposure to … only an underlying asset owing to volatility risk. Then, for hedging uncertain volatility risk, we design the polynomial …
Persistent link: https://www.econbiz.de/10013134269
Persistent link: https://www.econbiz.de/10014438155