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The value of switching inputs in a biodiesel production plant
Brandão, Luiz Eduardo Teixeira; Penedo, Gilberto Master; … - In: The European journal of finance 19 (2013) 7/8, pp. 674-688
Persistent link: https://www.econbiz.de/10010244742
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Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions
Dudenhausen, Antje - 2002
We consider a standard two-player all-pay auction with private values, where the valuation for the object is private information to each bidder. The crucial feature is that one bidder is favored by the allocation rule in the sense that he need not bid as much as the other bidder to win the...
Persistent link: https://www.econbiz.de/10010263054
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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
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A reduced-form contingent convertible bond model with deterministic conversion intensity
Cheridito, Patrick; Xu, Zhikai - In: Journal of risk 17 (2014/15) 3, pp. 1-18
Persistent link: https://www.econbiz.de/10011298892
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A cautionary note on the put-call parity under an asset pricing model with a lower reflecting barrier
Hertrich, Markus - In: Swiss journal of economics and statistics 151 (2015) 3, pp. 227-260
-à-vis the euro has had on foreign exchange hedging costs. The analysis shows that in the analyzed period domestic investors may … have incurred substantial costs as a result of hedging exposure to the euro currency and may have been overexposed to …
Persistent link: https://www.econbiz.de/10011341666
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An explicit option-based strategy that outperforms dollar cost averaging
Vanduffel, Steven; Ahcan, Ales; Henrard, Luc; Maj, Mateusz - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-19
Persistent link: https://www.econbiz.de/10009624518
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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
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Forward variance dynamics : Bergomi's model revisited
Aly, Sidi Mohamed Ould - In: Applied mathematical finance 21 (2014) 1/2, pp. 84-107
Persistent link: https://www.econbiz.de/10010351856
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Implications for hedging of the choice of driving process for one-factor Markov-functional models
Kennedy, Joanne E.; Pham, Duy - In: International journal of theoretical and applied finance 16 (2013) 5, pp. 1-51
Persistent link: https://www.econbiz.de/10009783994
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Pricing and hedging of inflation-indexed bonds in an affine framework
Eksi, Zehra; Filipović, Damir - 2013
This study deals with the pricing and hedging of inflation-indexed bonds. Under foreign exchange analogy we model the … for the factor process. Then, we perform a novel hedging analysis where our objective is to replicate an indexed bond of a … given maturity by trading a portfolio of nominal bonds. This analysis leads to a hedging criterion based on a set of …
Persistent link: https://www.econbiz.de/10010257509