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Dynamic Hedging in Incomplete Markets: A Simple Solution
Basak, Suleyman; Chabakauri, Georgy - C.E.P.R. Discussion Papers - 2011
Despite much work on hedging in incomplete markets, the literature still lacks tractable dynamic hedges in plausible … deviate unless she can pre-commit to follow them. We apply our results to the discrete hedging problem of derivatives when … specialized to the Black-Scholes setting. We also generalize our results to richer settings to study dynamic hedging with Poisson …
Persistent link: https://www.econbiz.de/10009024486
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Option Pricing with Discrete Rebalancing
Prigent, J.-L.; Renault, O.; Scaillet, O. - Institut de Recherche Économique et Sociale (IRES), … - 1999
is then provided together with the hedging strategy underlying portfolio adjustments. Under adequate conditions on the …
Persistent link: https://www.econbiz.de/10004985285
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Weak convergence in credit risk
Colino, Jesús P. - Departamento de Estadistica, Universidad Carlos III de … - 2008
In the present paper, we study both the approximation of a continuous-time model by a sequence of discrete-time price models driven by semimargingales with credit risk, and the convergence of these price processes (in terms of the triplets) under a framework that allows the practitioner a...
Persistent link: https://www.econbiz.de/10005190193
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UTILITY BASED PRICING AND HEDGING OF JUMP DIFFUSION PROCESSES WITH A VIEW TO APPLICATIONS
ZAHN, JOCHEN - In: International Journal of Theoretical and Applied … 15 (2012) 07, pp. 1250052-1
We discuss utility based pricing and hedging of jump diffusion processes with emphasis on the practical applicability …
Persistent link: https://www.econbiz.de/10011011296
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A utility maximization approach to hedging in incomplete markets
Kallsen, Jan - In: Mathematical Methods of Operations Research 50 (1999) 2, pp. 321-338
hedging problems in frictionless, incomplete markets. Copyright Springer-Verlag Berlin Heidelberg 1999 …
Persistent link: https://www.econbiz.de/10010950103
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On the Approximation of Random Variables by Stochastic Integrals with Respect to Semimartingales
Christopeit, Norbert - University of Bonn, Germany - 1994
means that for every contingent claim there exists a hedging strategy minimizing the expected square of net loss. …
Persistent link: https://www.econbiz.de/10005085669
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Investment, Consumption, and Hedging under Incomplete Markets
Miao, Jianjun; Wang, Neng - China Economics and Management Academy, Central … - 2006
Entrepreneurs often face undiversifiable idiosyncratic risks from their business investments. We extend the standard real options approach to an incomplete markets environment and analyze their joint decisions of business investments, consumption/savings, and portfolio selection. For a lump-sum...
Persistent link: https://www.econbiz.de/10009220141
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An Integer Programming Model for Pricing American Contingent Claims under Transaction Costs
Pınar, M.; Camcı, A. - In: Computational Economics 39 (2012) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10009401755
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Entrepreneurial Finance and Non-diversifiable Risk
Chen, Hui; Miao, Jianjun; Wang, Neng - Department of Economics, Boston University - 2009
Entrepreneurs face significant non-diversifiable business risks. We build a dynamic incompletemarkets model of entrepreneurial finance to demonstrate the important implications of nondiversifiable risks for entrepreneurs’ interdependent consumption, portfolio allocation, financing, investment,...
Persistent link: https://www.econbiz.de/10004991552
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Pseudo--Arbitrage - A new Approach to Pricing and Hedging in Incomplete Markets
Sommer, Daniel - University of Bonn, Germany - 1998
We develop a new approach to pricing and hedging contingent claims in incomplete markets. Mimicking as closely as … can derive unique prices and corresponding optimal hedging strategies without invoking specific assumptions on preferences … explicitly taking into account optimal hedging strategies leads to positive market prices of risk for volatility even if the …
Persistent link: https://www.econbiz.de/10004968199