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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

How to hedge if the payment date is uncertain?

Korn, Olaf; Merz, Alexander - 2016 - [revised]

This paper is the first to study the hedging of price risk with uncertain payment dates, a frequent problem in practice …. It derives a variance-minimizing hedging strategy for two settings, the first employing linear contracts with different …

Persistent link: https://www.econbiz.de/10011506271

Improving the option pricing performance of GARCH models in inefficient market

Lahouel, Noureddine; Hellara, Slaheddine - In: Investment management and financial innovations 17 (2020) 2, pp. 14-25

Persistent link: https://www.econbiz.de/10012303053

Computational finance

Stentoft, Lars - In: Journal of risk and financial management : JRFM 13 (2020) 7/145, pp. 1-4

of numerical methods for pricing, hedging, and risk management of financial instruments. …

Persistent link: https://www.econbiz.de/10012309311

On the performance of the comonotonicity approach for pricing Asian options in some benchmark models from equities and commodities

Chen, Jilong; Ewald, Christian - In: Review of Pacific Basin financial markets and policies 20 (2017) 1, pp. 1-32

Persistent link: https://www.econbiz.de/10011697161

Analysis of price risk management strategies in dairy farming using whole-farm simulations

Neyhard, James; Tauer, Loren W.; Gloy, Brent - In: Journal of agricultural and applied economics 45 (2013) 2, pp. 313-327

Persistent link: https://www.econbiz.de/10009757070

Gold price risk management through Nova 3 option strategy created by barrier options

Šoltés, Michal; Harčariková, Monika - In: Investment management and financial innovations 13 (2016) 1, pp. 49-60

Persistent link: https://www.econbiz.de/10011630674

Participating contingent premium options

Rajae, Aboulaich; Amina, Dchieche - In: Review of Pacific Basin financial markets and policies 20 (2017) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10011697145

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

Using Monte Carlo simulation with DCF and real options risk pricing techniques to analyse a mine financing proposal

Samis, Michael; Davis, Graham A. - In: International journal of financial engineering and risk … 1 (2014) 3, pp. 264-281

Persistent link: https://www.econbiz.de/10010476913

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