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HAMMERSTEIN, ERNST AUGUST VON; LÜTKEBOHMERT, EVA; … - In: International Journal of Theoretical and Applied … 17 (2014) 06, pp. 1450041-1

these savings to the strength of the market trend. Moreover, we consider the problem of hedging efficient claims, derive …-varying payoff profile of efficient options, we further develop alternative delta hedging strategies for vanilla calls and puts. We …

Persistent link: https://www.econbiz.de/10011011302

Hedging Strategies and Financial Risks

Zmeškal, Zdenìk - In: Czech Journal of Economics and Finance (Finance a uver) 54 (2004) 1-2, pp. 50-63

Hedging strategies represent basic instrument used toward eliminating financial risk. Increasing volatility of … select hedging strategies. Five basic hedging strategies ? delta hedging, minimum variance, minimum value at risk, maximum … and commodity-risk hedging are described. Several applications are suitable for small open economies that lack liquid …

Persistent link: https://www.econbiz.de/10008495620

AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING

VANDUFFEL, STEVEN; AHCAN, ALES; HENRARD, LUC; MAJ, MATEUSZ - In: International Journal of Theoretical and Applied … 15 (2012) 02, pp. 1250013-1

Dollar cost averaging (DCA) is a widely employed investment strategy in financial markets. At the same time it is also well documented that such gradual policy is sub-optimal from the point of view of risk averse decision makers with a fixed investment horizon T 0. However, an explicit strategy...

Persistent link: https://www.econbiz.de/10010540276

Option pricing and hedging under a stochastic volatility Lévy process model

Kim, Young; Fabozzi, Frank; Lin, Zuodong; Rachev, Svetlozar - In: Review of Derivatives Research 15 (2012) 1, pp. 81-97

Persistent link: https://www.econbiz.de/10010867545

Cost-efficiency in multivariate Lévy models

Ludger, Rüschendorf; Viktor, Wolf - In: Dependence Modeling 3 (2015) 1, pp. 16-16

In this paper we determine lowest cost strategies for given payoff distributions called cost-efficient strategies in multivariate exponential Lévy models where the pricing is based on the multivariate Esscher martingale measure. This multivariate framework allows to deal with dependent price...

Persistent link: https://www.econbiz.de/10011261888

The Efficiency of the Japanese Equity Market

Nagayasu, Jun - International Monetary Fund (IMF) - 2003

Using the ARFIMA-FIGARCH model, this paper studies the efficiency of the Japanese equity market by examining the statistical properties of the return and volatility of the Nikkei 225. It shows that both follow a long range dependence, which stands against the efficient market hypothesis (EMH)....

Persistent link: https://www.econbiz.de/10005825859

Deriving Market Expectations for the Euro-Dollar Exchange Rate From Option Prices

Krichene, Noureddine - International Monetary Fund (IMF) - 2004

Option prices provide valuable information on market expectations. This paper attempts to extract market expectations, as conveyed by an implied risk-neutral probability distribution, from option prices for the dollar-euro exchange rate. Returns' volatilities are inferred from observed and...

Persistent link: https://www.econbiz.de/10005605330

Hedging and Leveraging: Principal Portfolios of the Capital Asset Pricing Model

Partovi, M. Hossein - In: Economics Bulletin 33 (2013) 4, pp. 2930-2937

hedging and leveraging properties. Principal portfolios implement a recasting of any correlated asset set of N risky …

Persistent link: https://www.econbiz.de/10010726676

Hedging Diffusion Processes by Local Risk-Minimisation with Applications to Index Tracking

Colwell, D.; El-Hassan, Nadima; Kwon, Oh-Kang - Finance Discipline Group, Business School - 2004

The solution to the problem of hedging contingent claims by local risk-minimisation has been considered in detail in …

Persistent link: https://www.econbiz.de/10005041739

Financial Contagion and Asset Pricing

Fry-McKibbin, Renée; Martin, Vance; Tang, Chrismin - Crawford School of Public Policy, Australian National … - 2013

across asset markets are investigated with special emphasis given to understanding the effects on hedging risk during …

Persistent link: https://www.econbiz.de/10010904309

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