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A call on Art investments
Kraeussl, Roman; Wiehenkamp, Christian - 2010
investors and the hedging of exposures remains dificult. This paper proposes to overcome these problems by introducing a call … hedging risk. Even if this is not entirely possible, the replication approach serves as pricing benchmark for investors who …
Persistent link: https://www.econbiz.de/10010303744
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Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions
Dudenhausen, Antje - 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/10010263054
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Hedging barrier options: Current methods and alternatives
Dupont, Dominique Y. - 2001
This paper applies to the static hedge of barrier options a technique, mean-square hedging, designed to minimize the … size of the hedging error when perfect replication is not possible. It introduces an extension of this technique which … preserves the computational efficiency of mean-square hedging while being consistent with any prior pricing model or with any …
Persistent link: https://www.econbiz.de/10010292791
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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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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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A diffusion approximation to the Markov chains model of the financial market and the expected riskless profit under selling of call and put options
Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005
A discrete time model of financial markets is considered. It is assumed that the stock price evolution is described by a homogeneous Markov chain. In the focus of attention is the expected value of the guaranteed profit of the investor that arises when the jumps of the stock price are bounded....
Persistent link: https://www.econbiz.de/10010293729
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Hedging langfristiger Lieferverpflichtungen mit kurzfristigen Futures: möglich oder unmöglich?
Bühler, Wolfgang; Korn, Olaf - 1998
Im Laufe des Jahres 1993 war die Metallgesellschaft Refining & Marketing (MGRM), eine US-amerikanische Tochtergesellschaft der Metallgesellschaft AG, in großem Umfang die Verpflichtung eingegangen, langfristig Öl zu Festpreisen zu liefern. Das dadurch entstehende Preisrisiko sollte über...
Persistent link: https://www.econbiz.de/10010297588
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Closed formula for options with discrete dividends and its derivatives
Veiga, Carlos; Wystup, Uwe - 2008
We present a closed pricing formula for European options under the Black-Scholes model and formulas for its partial derivatives. The formulas are developed making use of Taylor series expansions and by expressing the spatial derivatives as expectations under special measures, as in Carr,...
Persistent link: https://www.econbiz.de/10010301703