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Creation and valuation of instruments compensating lower share prices with the help of black-scholes formula
Zaremba, Leszek - In: Foundations of Management : the journal of Warsaw … 9 (2017) 1, pp. 25-32
In this paper, we present a 1-period model of the Polish financial market from the view point of KGHM, the Polish largest listed company that suffered huge declines in share prices from 125 PLN in August 2015 to 60 PLN in January 2015. Our goal is to show how KGHM might create a portfolio (with...
Persistent link: https://www.econbiz.de/10011856225
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Three-benchmarked risk minimization for jump diffusion markets
Du, Ke; Platen, Eckhard - 2011
Persistent link: https://www.econbiz.de/10009564615
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Three-Benchmarked Risk Minimization for Jump Diffusion Markets
Du, Ke - 2012
The paper discusses the problem of hedging not perfectly replicable contingent claims by using a benchmark, the … pricing and hedging for an increasing number of not fully replicable benchmarked contingent claims …
Persistent link: https://www.econbiz.de/10013098521
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Benchmarked Risk Minimization for Jump Diffusion Markets
Platen, Eckhard - 2012
The paper discusses the problem of hedging not perfectly replicable contingent claims by using a benchmark, the … pricing and hedging for an increasing number of not fully replicable benchmarked contingent claims …
Persistent link: https://www.econbiz.de/10013098766
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On equilibrium asset prices when markets are incomplete
Madrigal, Vicente; Smith, Stephen DeWitt - In: Research in banking and finance 2 (2002), pp. 1-23
Persistent link: https://www.econbiz.de/10001684674
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Computational financial mathematics using Mathematica : optimal trading in stocks and options
Stojanovic, Srdjan - 2003
Persistent link: https://www.econbiz.de/10001672799
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Identifying Stock Market Bubbles : Modeling Illiquidity Premium and Bid-Ask Prices of Financial Securities
Karimov, Azar - 2017
parameter derived by employing conic finance theory. Further, it shows how to develop the closed form formulas of the bid and … interested in risk management, portfolio optimization and hedging in real-time to identify when asset prices are in a bubble …Introduction -- Review on Research Conducted -- Theory of Conic Finance -- Stock Prices Follow a Brownian Motion …
Persistent link: https://www.econbiz.de/10012397431
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Identifying stock market bubbles : modeling illiquidity premium and bid-ask prices of financial securities
Karimov, Azar - 2017 - 1st edition 2018
Persistent link: https://www.econbiz.de/10011710988
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Three essays on asset pricing anomalies, investor overreaction, and mutual fund performance
Zhang, Hong - 2004
Persistent link: https://www.econbiz.de/10003551684
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Essays on two financial market anomalies
Wang, Hui - 2005
Persistent link: https://www.econbiz.de/10003555364