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Local risk-minimization under Markov-modulated exponential Lévy model
Menoukeu-Pamen, Olivier; Momeya, Romuald - In: International journal of theoretical and applied finance 18 (2015) 5, pp. 1-24
Persistent link: https://www.econbiz.de/10011403879
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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
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On the stationarity of futures hedge ratios
Degiannakis, Stavros; Floros, Christos; Salvador, Enrique; … - In: Operational research : an international journal 22 (2022) 3, pp. 2281-2303
Persistent link: https://www.econbiz.de/10013443633
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Humps in the volatility structure of the crude oil futures market : new evidence
Chiarella, Carl; Kang, Boda; Nikitopoulos, Christina … - In: Energy economics 40 (2013), pp. 989-1000
Persistent link: https://www.econbiz.de/10010355994
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Negative call prices
Ruf, Johannes - In: Annals of finance 9 (2013) 4, pp. 787-794
Persistent link: https://www.econbiz.de/10010196568
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Modeling and pricing of space weather derivatives
Lemmerer, Birgit; Unger, Stephan - In: Risk management : a journal of risk, crisis and disaster 21 (2019) 4, pp. 265-291
Persistent link: https://www.econbiz.de/10012125348
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Essays on derivatives pricing in incomplete markets
Gerer, Johannes - 2016
Persistent link: https://www.econbiz.de/10012128861
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A dynamic programming approach for pricing weather derivatives under issuer default risk
Härdle, Wolfgang; Osipenko, Maria - In: International Journal of Financial Studies : open … 5 (2017) 4, pp. 1-18
risk can transfer it to financial markets via weather derivatives. We develop a utility-based model for pricing baskets of …
Persistent link: https://www.econbiz.de/10011760235
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Hedging costs and joint determinants of premiums and spreads in structured financial products
Entrop, Oliver; Fischer, Georg - 2019
This paper is the first to analyze the joint determinants of premiums and spreads in structured financial products, while also focusing on issuers' hedging costs. We evaluate more than 396,000 single stock discount certificates on an intraday basis in the German secondary market. We find that...
Persistent link: https://www.econbiz.de/10011960799
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Fourier-Cosine method for pricing and hedging insurance derivatives
Goudenège, Ludovic; Molent, Andrea; Wei, Xiao; … - In: Theoretical economics letters 8 (2018) 3, pp. 282-291
Persistent link: https://www.econbiz.de/10011822600