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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

An Efficient Rare Event Simulation-Based Methodology for Pricing and Risk Management of Financial Derivatives

Clark, Ephraim; Kontosakos, Vasileios; Mitra, Sovan; … - 2022

and accurate simulation due to fundamental issues in small probability estimations. In this paper, we propose a simulation …-based methodology for financial applications that require rare event estimations. We present three key applications: barrier options …

Persistent link: https://www.econbiz.de/10013406014

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

Price risk management by using dynamic hedging based on advanced Black-Scholes model

Lu, Peili; Shen, Jiaqi; Zhao, Liheng; Qin, Haoyang; … - In: International journal of financial engineering 7 (2020) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10012602709

Operational risk of option hedging

Mitra, Sovan - In: Economic modelling 33 (2013), pp. 194-203

Persistent link: https://www.econbiz.de/10010191991

Risk management and financial derivatives : an overview

Hammoudeh, Shawkat; McAleer, Michael - In: The North American journal of economics and finance : a … 25 (2013), pp. 109-115

Persistent link: https://www.econbiz.de/10009777841

The rise and fall of S&P500 variance futures

Chang, Chia-Lin; Jimenez-Martin, Juan-Angel; McAleer, … - In: The North American journal of economics and finance : a … 25 (2013), pp. 151-167

Persistent link: https://www.econbiz.de/10009779314

A bivariate lattice model to compute risk measures in life insurance policies

Costabile, Massimo - In: The journal of derivatives : JOD 28 (2021) 3, pp. 123-139

Persistent link: https://www.econbiz.de/10012486033

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

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