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Utility indifference pricing and hedging for structured contracts in energy markets
Callegaro, Giorgia; Campi, Luciano; Giusto, Valeria; … - In: Mathematical methods of operations research 85 (2017) 2, pp. 265-303
Persistent link: https://www.econbiz.de/10011714437
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Bewertung nicht redundanter Finanzderivate mittels Entropie und Cross-Entropie
Branger, Nicole - 2002 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001653604
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Forward exponential indifference valuation in an incomplete binomial model
Musiela, Marek; Sokolova, E.; Zariphopoulou-Souganidis, … - In: Advanced modelling in mathematical finance : in honour …, (pp. 277-302). 2016
Persistent link: https://www.econbiz.de/10011800382
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Hedging derivatives
Rheinländer, Thorsten; Sexton, Jenny - 2011
Persistent link: https://www.econbiz.de/10009233654
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Hedging Derivatives.
Sexton, Jenny - 2011
Key Features:Unique focus on hedging and optimal martingale measuresIncludes new developments about static and dynamic … hedging schemesTreatment of popular models for asset prices like exponential Lévy processes and stochastic volatility models. …Intro -- Contents -- Preface -- 1. Introduction -- 1.1 Hedging in complete markets -- 1.1.1 Black & Scholes analysis …
Persistent link: https://www.econbiz.de/10012689402
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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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Crypto quanto and inverse options
Alexander, Carol; Chen, Ding; Imeraj, Arben - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1005-1043
Persistent link: https://www.econbiz.de/10014370619
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A Bayesian pricing of longevity derivatives with interest rate risks
Kogure, Atsuyuki; Fushimi, Takahiro - In: Asia-Pacific journal of risk and insurance : APJRI 12 (2018) 1, pp. 1-30
Persistent link: https://www.econbiz.de/10011813899
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Indifference pricing for contingent claims : large deviations effects
Robertson, Scott; Spiliopoulos, Konstantinos - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 335-371
Persistent link: https://www.econbiz.de/10011969147
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Valuation of hybrid financial and actuarial products in life insurance by a novel three-step method
Deelstra, Griselda; Devolder, Pierre; Gnameho, Kossi; … - In: ASTIN bulletin : the journal of the International … 50 (2020) 3, pp. 709-742
Persistent link: https://www.econbiz.de/10012307394