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A note on utility indifference pricing
Gerer, Johannes; Dorfleitner, Gregor - In: International journal of theoretical and applied finance 19 (2016) 6, pp. 1-17
Persistent link: https://www.econbiz.de/10011572373
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Optional defaultable markets
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
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Term structure modeling with overnight rates beyond stochastic continuity
Fontana, Claudio; Grbac, Zorana; Schmidt, Thorsten - In: Mathematical finance : an international journal of … 34 (2024) 1, pp. 151-189
Persistent link: https://www.econbiz.de/10014471210
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The term structure of the price of variance risk
Andries, Marianne; Eisenbach, Thomas M.; Schmalz, Martin C. - 2015
We estimate the term structure of the price of variance risk (PVR), which helps distinguish between competing asset-pricing theories. First, we measure the PVR as proportional to the Sharpe ratio of short-term holding returns of delta-neutral index straddles; second, we estimate the PVR in a...
Persistent link: https://www.econbiz.de/10011303715
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Cross-hedging strategies between CDS spreads and option volatility during crises
Fonseca, José da; Gottschalk, Katrin - In: Journal of international money and finance 49 (2014), pp. 386-400
Persistent link: https://www.econbiz.de/10010464998
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Option hedging for semimartingales
Schweizer, Martin - 1989
Persistent link: https://www.econbiz.de/10000757518
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Pricing by hedging and no-arbitrage beyond semimartingales
Bender, Christian; Sottinen, Tommi; Valkeila, Esko - In: Finance and stochastics 12 (2008) 4, pp. 441-468
Persistent link: https://www.econbiz.de/10003899260
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An analysis of the supply curve for liquidity risk through book data
Blais, Marcel; Protter, Philip E. - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 821-838
Persistent link: https://www.econbiz.de/10008905116
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On certain distributions associated with the range of Martingales
Cherny, Alexander; Dupire, Bruno - In: Optimality and risk - modern trends in mathematical …, (pp. 29-38). 2009
Persistent link: https://www.econbiz.de/10003948468
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Hedging variance options on continuous semimartingales
Carr, Peter; Lee, Roger - In: Finance and stochastics 14 (2010) 2, pp. 179-207
Persistent link: https://www.econbiz.de/10003951494