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Incorporating views on marginal distributions in the calibration of risk models
Dey, Santanu; Juneja, Sandeep; Murthy, Karthyek R. A. - In: Operations research letters 43 (2015) 1, pp. 46-51
Persistent link: https://www.econbiz.de/10010486359
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Extracting pricing densities for weather derivatives using the maximum entropy method
Alexandridis, Antonios K.; Gzyl, Henryk; Horst, Enrique ter - In: Journal of the Operational Research Society 72 (2021) 11, pp. 2412-2428
Persistent link: https://www.econbiz.de/10012697323
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Weather risk management in agriculture using weather derivatives
Bobrikova, Martina - In: Italian review of agricultural economics 77 (2022) 2, pp. 15-26
follows the index modelling method using the Burn analysis valuation for fair premium calculation. The proposal of hedging …
Persistent link: https://www.econbiz.de/10013499476
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Combining accounting data and a structural model for predicting credit ratings : empirical evidence from European listed firms
Doumpos, Michael; Niklis, Dimitrios; Zopounidis, Constantin - In: Journal of banking & finance 50 (2015), pp. 599-607
Persistent link: https://www.econbiz.de/10010510180
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Asymptotic synthesis of contingent claims with controlled risk in a sequence of discrete-time markets
Kreps, David M.; Schachermayer, Walter - In: Theoretical economics : TE ; an open access journal in … 16 (2021) 1, pp. 25-47
We examine the connection between discrete-time models of financial markets and the celebrated Black--Scholes--Merton (BSM) continuous-time model in which ''markets are complete." Suppose that (a) the probability law of a sequence of discrete-time models converges to the law of the BSM model and...
Persistent link: https://www.econbiz.de/10012415568
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A bias in the volatility smile
Chance, Don M.; Hanson, Thomas A.; Li, Weiping; … - In: Review of derivatives research 20 (2017) 1, pp. 47-90
Persistent link: https://www.econbiz.de/10011930559
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Construction and hedging of equity index options portfolios
Wysocki, Maciej; Ślepaczuk, Robert - 2024
Persistent link: https://www.econbiz.de/10014634884
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Fractional Brownian motion in option pricing and dynamic delta hedging : experimental simulations
Dufera, Tamirat Temesgen - In: The North American journal of economics and finance : a … 69 (2024) 2, pp. 1-13
Persistent link: https://www.econbiz.de/10014445631
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Women in power with power : the influence of meaningful board representation on default risk
Abinzano, Isabel; Martinez, Beatriz; Poletti-Hughes, Jannine - In: International review of financial analysis 89 (2023), pp. 1-15
Persistent link: https://www.econbiz.de/10014465510
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Using options pricing theory to value safety & ergonomics projects : a case study
Miller, Luke; Kelber, Jennifer W. - In: Review of business & finance studies : RBFS 6 (2015) 2, pp. 75-84
Persistent link: https://www.econbiz.de/10010519871