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Variance optimal hedging in discrete time
Schweizer, Martin - University of Bonn, Germany
Persistent link: https://www.econbiz.de/10005028373
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A general theory of tax-smoothing
Karantounias, Anastasios G. - 2024
Persistent link: https://www.econbiz.de/10015159279
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Mean-Variance Hedging via Stochastic Control and BSDEs for General Semimartingales
Jeanblanc, Monique; Mania, Michael; Santacroce, Marina; … - National Centre of Competence in Research - Financial … - 2011
We solve the problem of mean-variance hedging for general semimartingale modelsvia stochastic control methods. After proving that the value process of theassociated stochastic control problem has a quadratic structure, we characteriseits three coefficient processes as solutions of semimartingale...
Persistent link: https://www.econbiz.de/10009486968
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Finance without probabilistic prior assumptions
Riedel, Frank - 2011
endogenously as full support martingale measures (instead of equivalent martingale measures). A variant of the Harrison …
Persistent link: https://www.econbiz.de/10010319970
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Martingale approach in pricing and hedging European options under regime-switching
Milstein, Grigori N.; Spokoiny, Vladimir - 2011
function is evaluated using the martingale approach. The equivalent martingale measure is introduced in a way that the Markov …
Persistent link: https://www.econbiz.de/10010281592
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A term structure model and the pricing of interest rate options
Sandmann, Klaus; Sondermann, Dieter - University of Bonn, Germany
Persistent link: https://www.econbiz.de/10005028462
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Exchange Options
Jamshidian, Farshid - Volkswirtschaftliche Fakultät, … - 2007
option price function is highlighted. Equivalent martingale measures are utilized to show unique pricing with bounded deltas …
Persistent link: https://www.econbiz.de/10005619898
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A guided tour through quadratic hedging approaches
Schweizer, Martin - 1999
Persistent link: https://www.econbiz.de/10001473109
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On the pricing and hedging of credit risk in incomplete markets
Lotz, Christopher - 2000
Persistent link: https://www.econbiz.de/10001481836
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On hedging in finite security markets
Florio, Silvia; Runggaldier, Wolfgang J. - In: Applied mathematical finance 6 (1999) 3, pp. 159-176
Persistent link: https://www.econbiz.de/10001490688