Narrow search
Showing 1 - 10 of 1,539
Cover Image
A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk
Henderson, Vicky - 2015
This paper considers exponential utility indifference pricing for a multidimensional non-traded assets model subject to intertemporal default risk, and provides a semigroup approximation for the utility indifference price. The key tool is the splitting method, whose convergence is proved based...
Persistent link: https://www.econbiz.de/10013037486
Cover Image
Diffusion-Based Models for Financial Markets Without Martingale Measures
Fontana, Claudio - 2015
Local Martingale Measure, the financial market may still be viable, in the sense that strong forms of arbitrage are excluded … necessary and sufficient conditions for market viability in terms of the \emph{market price of risk} process and martingale … deflators. Regardless of the existence of a martingale measure, we show that the financial market may still be complete and …
Persistent link: https://www.econbiz.de/10013015958
Cover Image
Taking ambiguity to reality : robust agents cannot trust the data too much
Trojani, Fabio; Wiehenkamp, Christian; Wrampelmeyer, Jan - 2011
Ambiguity aversion in dynamic models is motivated by the presence of unknown time-varying features, which agents do not understand and cannot theorize about. We analyze the consequences of this assumption for economic agents and model builders, who typically need to estimate a model, e.g., to...
Persistent link: https://www.econbiz.de/10009273101
Cover Image
Estimation of Multivariate Asset Models with Jumps
Loregian, Angela - 2018
We propose a consistent and computationally efficient 2-step methodology for the estimation of multidimensional non-Gaussian asset models built using Lévy processes. The proposed framework allows for dependence between assets and different tail-behaviors and jump structures for each asset. Our...
Persistent link: https://www.econbiz.de/10012937321
Cover Image
The Optimal Method for Pricing Bermudan Options by Simulation
Ibañez, Alfredo - 2017
Least-squares methods enable us to price Bermudan-style options by Monte Carlo simulation. They are based on estimating the option continuation value by least squares. We show that the Bermudan price is maximized when this continuation value is estimated near the exercise boundary, which is...
Persistent link: https://www.econbiz.de/10012976765
Cover Image
Option pricing and portfolio optimization under a multi-asset jump-diffusion model with systemic risk
Makarov, Roman - In: Risks : open access journal 11 (2023) 12, pp. 1-24
We explore a multi-asset jump-diffusion pricing model, combining a systemic risk asset with several conditionally independent ordinary assets. Our approach allows for analyzing and modeling a portfolio that integrates high-activity security, such as an exchange trading fund (ETF) tracking a...
Persistent link: https://www.econbiz.de/10014446758
Cover Image
Pseudo-Hermiticity, Martingale Processes, and Non-Arbitrage Pricing
Hicks, William - 2021
In [2], and [13], financial models based on the Wick product, and White Noise formalism are suggested. Although the original purpose is to incorporate integrals with respect to fractional Brownian motion, it is also pointed out in these articles, that this leads naturally to a quantum mechanical...
Persistent link: https://www.econbiz.de/10013235064
Cover Image
Pseudo linear pricing rule for utility indifference valuation
Henderson, Vicky; Liang, Gechun - In: Finance and stochastics 18 (2014) 3, pp. 593-615
Persistent link: https://www.econbiz.de/10010395991
Cover Image
On utility-based pricing of contingent claims in incomplete markets
Hugonnier, Julien; Kramkov, Dmitry; Schachermayer, Walter - In: Mathematical finance : an international journal of … 15 (2005) 2, pp. 203-212
Persistent link: https://www.econbiz.de/10002725392
Cover Image
Option pricing by large risk aversion utility under transaction costs
Bouchard, Bruno; Kabanov, Jurij M.; Touzi, Nizar - In: Decisions in economics and finance : DEF ; a journal of … 24 (2001) 2, pp. 127-136
Persistent link: https://www.econbiz.de/10001683843