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Volterra equation for pricing and hedging in a regime switching market
Goswami, Anindya; Saini, Ravi Kant - In: Cogent Economics & Finance 2 (2014) 1, pp. 1-11
hedging strategy by using quadrature method. …
Persistent link: https://www.econbiz.de/10011559128
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Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong
Peeters, Bas; Dert, Cees L.; Lucas, André - 2003
Taking a portfolio perspective on option pricing and hedging, we show that within the standard Black …) hedging the total risk of each option separately, the correct hedge portfolio in discrete time eliminates linear (delta) as … indefinitely. This ties the literature on option pricing and hedging closer together with the APT literature in its focus on …
Persistent link: https://www.econbiz.de/10010324983
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How to Avoid a Hedging Bias
Dudenhausen, Antje - 2002
in discrete time. Therefore, the hedging bias which originates from the effects of time-discretising strategies is … analysed. It turns out that a systematic hedging bias can only be avoided if a discrete-time hedging model is used. It is shown … how the robustness property for convex payoffs is recovered while at the same time the hedging bias is avoided. …
Persistent link: https://www.econbiz.de/10010263078
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High order compact finite difference schemes for a nonlinear Black-Scholes equation
Düring, Bertram; Fournié, Michel; Jüngel, Ansgar - 2001
A nonlinear Black-Scholes equation which models transaction costs arising in the hedging of portfolios is discretized …
Persistent link: https://www.econbiz.de/10010324085
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Neyman-Pearson Hedging and Dynamic Measures of Risk
Kohlmann, Michael - 2000
In both complete and incomplete markets we consider the problem of fulfilling a financial obligation xc as well as possible at time T if the initial capital is not sufficient to hedge xc. This introduces a new risk into the market and our main aim is to minimize this shortfall risk by making use...
Persistent link: https://www.econbiz.de/10010324097
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Produktdesign und Semi-Statische Absicherung von Turbo-Zertifikaten
Mahayni, Antje; Suchanecki, Michael - 2005
Turbo-Certificates are one of the most popular structured equity products for private investors in Germany. They can be regarded as special forms of barrier options. The relation between the barrier level and the strike price is especially important for the design of these products. By using a...
Persistent link: https://www.econbiz.de/10010263131
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Contingent claims valued and hedged by pricing and investing in a basis
Milne, Frank; Madan, Dilip - 2008
basis. Basis pricing synthesizes claim valuation and basis investment provides static hedging opportunities. For claims …
Persistent link: https://www.econbiz.de/10010290451
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Option pricing with V. G. Martingale components
Milne, Frank; Madan, Dilip - 2008
European call options are priced when the uncertainty driving the stock price follows the V. G. stochastic process (Madan and Seneta 1990). The incomplete markets equilibrium change of measure is approximated and identified using the log return mean. variance, and kurtosis. An exact equilibrium...
Persistent link: https://www.econbiz.de/10010290463
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Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface
Fengler, Matthias R.; Wang, Qihua - 2003
Nonparametric methods for estimating the implied volatility surface or the implied volatility smile are very popular, since they do not impose a specific functional form on the estimate. Traditionally, these methods are two-step estimators. The first step requires to extract implied volatility...
Persistent link: https://www.econbiz.de/10010296461
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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