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The Risk Management of Minimum Return Guarantees
Mahayni, Antje; Schlögl, Erik - 2003
We analyse contracts which pay out a guaranteed minimum rate of return and a fraction of a positive excess rate, which is specified on the basis of a benchmark portfolio. These contracts are closely related to unit--linked life--insurance/savings plan products and can be considered as...
Persistent link: https://www.econbiz.de/10010263089
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Unifying exotic option closed formulas
Esquível, Manuel L.; Veiga, Carlos; Wystup, Uwe - 2010
This paper aims to unify exotic option closed formulas by generalizing a large class of existing formulas and by setting a framework that allows for further generalizations. The formula presented covers options from the plain vanilla to most, if not all, mountain range exotic options and is...
Persistent link: https://www.econbiz.de/10010301702
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A call on Art investments
Kraeussl, Roman; Wiehenkamp, Christian - 2010
The art market has seen boom and bust during the last years and, despite the downturn, has received more attention from investors given the low interest environment following the financial crisis. However, participation has been reserved for a few investors and the hedging of exposures remains...
Persistent link: https://www.econbiz.de/10010303744
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Option replication with large transactions costs
Reiß, Ariane - 1997
In this paper we addressed the problem of determining the optimal replicating strategy for a European call option under differential transactions costs. We derived an upper boundary for the cost factor in a market where all Investors face the same factor. This upper boundary ensures the...
Persistent link: https://www.econbiz.de/10010435527
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Der Informationsgehalt von Derivaten für die Geldpolitik: Implizite Volatilitäten und Wahrscheinlichkeiten
Neuhaus, Holger - 1995
There is much discussion about derivatives at central banks. The main focus is on questions about the impact of the growing use of derivative instruments on the stability of the financial markets and the effectiveness ofmonetary policy measures. Irrespective ofthe answers, the information...
Persistent link: https://www.econbiz.de/10010478816
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The information content of derivatives for monetary policy: Implied volatilities and probabilities
Neuhaus, Holger - 1995
Persistent link: https://www.econbiz.de/10010478817
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Deriving the term structure of banking crisis risk with a compound option approach: The case of Kazakhstan
Eichler, Stefan; Karmann, Alexander; Maltritz, Dominik - 2010
We use a compound option-based structural credit risk model to infer a term structure of banking crisis risk from market data on bank stocks in daily frequency. Considering debt service payments with different maturities this term structure assigns a separate estimator for short- and long-term...
Persistent link: https://www.econbiz.de/10010300362
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The impact of long-term provision costs on performance of trade in Serbia
Lukic, Radojko - In: Economic and Environmental Studies (E&ES) 17 (2017) 3, pp. 455-474
mostly refer to warranty costs. Warranty costs are caused by repair and servicing of the sold products during the warranty … period. They are function of the quality, usage and maintenance (storage) of sold product. In marketing sense, warranty costs …-term provisions - warranty costs on the performance of retailers, with special emphasis on Serbia. These theoretical, methodological …
Persistent link: https://www.econbiz.de/10011849494
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Optimal overhau-replacement policy for a multi-degraded repairable system sold with warranty
Soemadi, Kusmaningrum; Iskandar, Bermawi Priyatna; … - In: Journal of Industrial Engineering International 15 (2019) S1, pp. 153-164
free replacement warranty. In the proposed replacement policy, a maintenance action and failure are dependent on a system …
Persistent link: https://www.econbiz.de/10013470826
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Return distributions of equity-linked retirement plans
Detering, Nils; Weber, Andreas; Wystup, Uwe - 2010
We have compared the performance of savings plans within the class of difference capital guarantee mechanisms: from the stop loss to classic investments in actuarial reserve funds. CPPI strategies with different leverage factors can be viewed as a compromises between these two extremes. In...
Persistent link: https://www.econbiz.de/10010303923