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Robust hedging with proportional transaction costs
Dolinsky, Yan; Soner, Halil Mete - In: Finance and stochastics 18 (2014) 2, pp. 327-347
Persistent link: https://www.econbiz.de/10010340734
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No-arbitrage and hedging with liquid American options
Bayraktar, Erhan; Zhou, Zhou - In: Mathematics of operations research 44 (2019) 2, pp. 468-486
Persistent link: https://www.econbiz.de/10012028629
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Equivalent martingale measure in Asian geometric average option pricing
Zhu, Yonggang - In: Journal of mathematical finance 4 (2014) 4, pp. 304-308
Persistent link: https://www.econbiz.de/10011312412
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Rainbow trend options : valuation and applications
Wang, Jr-Yan; Wang, Hsiao-Chuan; Ko, Yi-Chen; Hung, Mao-Wei - In: Review of derivatives research 20 (2017) 2, pp. 91-133
Persistent link: https://www.econbiz.de/10011935970
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Optional projection under equivalent local martingale measures
Biagini, Francesca; Mazzon, Andrea; Perkkiö, Ari-Pekka - In: Finance and stochastics 27 (2023) 2, pp. 435-465
Persistent link: https://www.econbiz.de/10014253651
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A Bayesian analysis of time-varying jump risk in S&P 500 returns and options
Carverhill, Andrew; Luo, Dan - In: Journal of financial markets 64 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014466112
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Randomised mixture models for pricing kernels
Macrina, Andrea; Parbhoo, Priyanka A. - In: Asia-Pacific financial markets 21 (2014) 4, pp. 281-315
Persistent link: https://www.econbiz.de/10010511573
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Pricing and managing risks of European-style options in a Markovian regime-switching binomial model
Fard, Farzad Alavi; Siu, Tak Kuen - In: Annals of finance 9 (2013) 3, pp. 421-438
Persistent link: https://www.econbiz.de/10009776434
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A cautionary note on the put-call parity under an asset pricing model with a lower reflecting barrier
Hertrich, Markus - In: Swiss journal of economics and statistics 151 (2015) 3, pp. 227-260
-à-vis the euro has had on foreign exchange hedging costs. The analysis shows that in the analyzed period domestic investors may … have incurred substantial costs as a result of hedging exposure to the euro currency and may have been overexposed to …
Persistent link: https://www.econbiz.de/10011341666
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Options, futures, and other derivative securities
Hull, John - 1989
Persistent link: https://www.econbiz.de/10000083643