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Abdelghani, Mohamed N.; Melʹnikov, Aleksandr V. - In: Risks : open access journal 5 (2017) 4, pp. 1-21

on modeling of defaultable markets, pricing and hedging of defaultable claims and results on the probability of default …

Persistent link: https://www.econbiz.de/10011783347

Risk Analysis and Hedging of Parisian Options Under a Jump-Diffusion Model

Kim, Kyoung-Kuk - 2019

cause dynamic hedging to fail. As an alternative, we investigate a quasi-static hedge of Parisian options under a more … contingent claims which are statically hedged. Through numerical experiments, we show the effectiveness of the suggested hedging …

Persistent link: https://www.econbiz.de/10012904013

Adaptive risk hedging for call options under Cox-Ingersoll-Ross interest rates

Ghorbani, Niloofar; Korzeniowski, Andrzej - In: Inventi impact: microfinance & banking (2021) 2, pp. 83-90

Persistent link: https://www.econbiz.de/10012816013

A note on options and bubbles under the CEV model : implications for pricing and hedging

Dias, José Carlos; Nunes, Joaõ Pedro Vidal; Cruz, Aricson - In: Review of derivatives research 23 (2020) 3, pp. 249-272

Persistent link: https://www.econbiz.de/10012303226

Option pricing and hedging for discrete time regime-switching models

Rémillard, Bruno; Hocquard, Alexandre; Lamarre, Hugo; … - In: Modern economy 8 (2017) 8, pp. 1005-1032

Persistent link: https://www.econbiz.de/10011748340

Forward equations for option prices in semimartingale models

Bentata, Amel; Cont, Rama - In: Finance and stochastics 19 (2015) 3, pp. 617-651

Persistent link: https://www.econbiz.de/10011418317

Local risk-minimization for Lévy markets

Arai, Takuji; Suzuki, Ryoichi - In: International journal of financial engineering 2 (2015) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10011333451

The economics of options-implied inflation probability density functions

Kitsul, Yuriy; Wright, Jonathan H. - In: Journal of financial economics 110 (2013) 3, pp. 696-711

Persistent link: https://www.econbiz.de/10010255707

Short maturity options for Azéma-Yor martingales

Zhu, Lingjiong - In: International journal of financial engineering 2 (2015) 4, pp. 1-32

Persistent link: https://www.econbiz.de/10011493322

Local martingales, bubbles and option prices

Cox, Alexander M. G.; Hobson, David G. - In: Finance and stochastics 9 (2005) 4, pp. 477-492

Persistent link: https://www.econbiz.de/10003123202

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