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Unique option pricing measure with neither dynamic hedging nor complete markets

Taleb, Nassim Nicholas - In: European financial management : the journal of the … 21 (2015) 2, pp. 228-235

Persistent link: https://www.econbiz.de/10010516685

Forward variance dynamics : Bergomi's model revisited

Aly, Sidi Mohamed Ould - In: Applied mathematical finance 21 (2014) 1/2, pp. 84-107

Persistent link: https://www.econbiz.de/10010351856

Black-scholes representation for Asian options

Večeř, Jan - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 598-626

Persistent link: https://www.econbiz.de/10010485999

Hedging long-dated oil futures and options using short-dated securities : revisiting Metallgesellschaft

Doran, James S.; Ronn, Ehud I. - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-10

Since the collapse of the Metallgesellschaft AG due to hedging losses in 1993, energy practitioners have been concerned … hedging long-dated futures and options with their short-dated counterparts, we find that the long-term tracking errors are, on …

Persistent link: https://www.econbiz.de/10012626875

Variance Gamma model in hedging vanilla and exotic options

Bollin, Bartłomiej; Ślepaczuk, Robert - 2020

Persistent link: https://www.econbiz.de/10012322240

Participating contingent premium options

Rajae, Aboulaich; Amina, Dchieche - In: Review of Pacific Basin financial markets and policies 20 (2017) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10011697145

Trading strategies in currency markets

Abdel Zaher, Angie; Ghosh, Dipasri; Ghosh, Dilip K. - In: International journal of business 25 (2020) 1, pp. 73-82

Persistent link: https://www.econbiz.de/10012183167

Optional defaultable markets

Abdelghani, Mohamed N.; Melʹnikov, Aleksandr V. - In: Risks : open access journal 5 (2017) 4, pp. 1-21

on modeling of defaultable markets, pricing and hedging of defaultable claims and results on the probability of default …

Persistent link: https://www.econbiz.de/10011783347

A verification model to capture option risk and hedging based on a modified underlying beta

Shen, Chuan-He; Liu, Yang - In: The journal of risk model validation 15 (2021) 1, pp. 49-68

Persistent link: https://www.econbiz.de/10014540158

Hedging option books using neural-sde market models

Cohen, Samuel N.; Reisinger, Christoph; Wang, Sheng - In: Applied mathematical finance 29 (2022) 5, pp. 366-401

Persistent link: https://www.econbiz.de/10014323483

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