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Robust hedging with proportional transaction costs
Dolinsky, Yan; Soner, Halil Mete - 2013
Duality for robust hedging with proportional transaction costs of path dependent European options is obtained in a …. The main theorem is duality between hedging and a Monge-Kantorovich type optimization problem. In this dual transport …
Persistent link: https://www.econbiz.de/10009750655
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Optimal Hedging Strategies for Options in Electricity Futures Markets
Hess, Markus - 2021
In this paper, we derive optimal hedging strategies for options in electricity futures markets. Optimality is measured … in terms of minimal variance and the associated minimal variance hedging portfolios are obtained by a stochastic maximum …
Persistent link: https://www.econbiz.de/10013232821
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Hedging with Transient Price Impact for Non-Covered and Covered Options
Becherer, Dirk - 2018
transient nature of impact through a resilience function. For covered options, the pricing pde involves gamma constraints but is …
Persistent link: https://www.econbiz.de/10012914870
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Hedging Futures Options with Stochastic Interest Rates
Cheng, Benjamin - 2016
This paper presents a simulation study of hedging long-dated futures options, in the Rabinovitch (1989) model which … hedging instruments match the maturity of the option, forward contracts and futures contracts can hedge both the market risk … and the interest rate risk of the options positions. When the hedge is rolled forward with shorter maturity hedging …
Persistent link: https://www.econbiz.de/10012982917
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Optimal Timing to Purchase Options
Leung, Tim - 2012
We study the optimal timing of derivative purchases in incomplete markets. In our model, an investor attempts to maximize the spread between her model price and the offered market price through optimally timing her purchase. Both the investor and the market value the options by risk-neutral...
Persistent link: https://www.econbiz.de/10013115781
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Pricing Asian Options with Stochastic Convenience Yield and Jumps
Ewald, Christian-Oliver - 2020
the geometric average option as suitable control variate for pricing the corresponding arithmetic average Asian option via …
Persistent link: https://www.econbiz.de/10012844469
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Conditional density models for asset pricing
Filipović, Damir; Hughston, Lane P.; Macrina, Andrea - 2010
We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the asset is driven by Brownian motion, an associated "master...
Persistent link: https://www.econbiz.de/10008797695
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Explicit Constructions of Martingales Calibrated to Given Implied Volatility Smiles
Carr, Peter - 2011
The construction of martingales with given marginal distributions at given times is a recurrent problem in financial mathematics. From a theoretical point of view, this problem is well-known as necessary and sufficient conditions for the existence of such martingales have been described....
Persistent link: https://www.econbiz.de/10013132624
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Rare Macro Disasters in Credit and Option Markets
Du, Du - 2012
We show that the slight possibility of a macroeconomic disaster of moderate magnitude can explain important features across credit, option, and equity markets. Our consumption-based equilibrium model captures the empirical level and volatility of credit spreads, generates a flexible credit term...
Persistent link: https://www.econbiz.de/10013109094
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Implied Volatilities for Options on Backward-Looking Term Rates
Hofmann, Karl F. - 2020
We derive valuation formulas for caps and floors on backward-looking term rates in the Black-1976, Bachelier and Hull-White-1-Factor models explicitly regarding valuation in the fixing period, extending and detailing results of [Lyashenko & Mercurio 2019, Henrard 2019, Turfus 2020]. These...
Persistent link: https://www.econbiz.de/10012834974