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Explicit approximations of multi-asset option prices including Greeks
Börger, Reik H. - In: International Journal of Portfolio Analysis and Management 1 (2014) 4, pp. 314-329
Persistent link: https://www.econbiz.de/10010472815
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Pricing and risk management of multi-assets financial instruments to natural disasters
Chang, Jui-Jane; Huang, Pao-Hsien; Wu, Ting-Pin - In: Emerging markets, finance & trade : a journal of the … 60 (2024) 1, pp. 19-43
Persistent link: https://www.econbiz.de/10014444330
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Breakthrough in Understanding Derivatives and Option Based Hedging - Marginal and Joint Probability Density Functions of Vanilla Options - True Value-at-Risk and Option Based Hedgi...
Izmailov, Alexander - 2015
reliably characterize any random variable (in our case derivative) with just its first moment. • This lack of attention to …
Persistent link: https://www.econbiz.de/10013032725
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Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
Hu, Yuan; Lindquist, W. Brent; Račev, Svetlozar T.; … - In: Journal of economic dynamics & control 137 (2022), pp. 1-20
Persistent link: https://www.econbiz.de/10013464578
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On the use of the moment-matching technique for pricing and hedging multi-asset spread options
Pellegrino, Tommaso; Sabino, Piergiacomo - In: Energy economics 45 (2014), pp. 172-185
Persistent link: https://www.econbiz.de/10010504771
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Unique option pricing measure with neither dynamic hedging nor complete markets
Taleb, Nassim Nicholas - In: European financial management : the journal of the … 21 (2015) 2, pp. 228-235
Persistent link: https://www.econbiz.de/10010516685
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New proxy schemes for swing contracts
Koster, Frank; Oeltz, Daniel; Steffens, Angelina - In: The journal of energy markets 16 (2023) 4, pp. 15-30
Persistent link: https://www.econbiz.de/10014556497
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Accurate delta hedging of european options using conformable calculus
Olmos, Andrés; Muriel, Nelson - In: EconoQuantum : Revista de Economía y Negocios 21 (2024) 1, pp. 59-69
Persistent link: https://www.econbiz.de/10014500556
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Hedging efficiency in the Greek options market before and after the financial crisis of 2008
Shackleton, Mark B.; Voukelatos, Nikolaos - In: Journal of multinational financial management 23 (2013) 1/2, pp. 1-18
Persistent link: https://www.econbiz.de/10009728527
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Risk Minimizing Hedging of Crude-Oil Options : Theory and Empirical Performance
Ewald, Christian-Oliver - 2011
We study the hedging problem for European-style options written on crude-oil futures. Locally risk-minimizing hedging strategies are derived under the assumption that the dynamics of crude-oil futures are described by a Merton-type jump-diffusion. These are then tested empirically using...
Persistent link: https://www.econbiz.de/10013125115