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The limitations of no-arbitrage arguments for real options
Hubalek, Friedrich; Schachermayer, Walter - 1999
We consider an option c which is contingent on an underlying (tilde S) that is not a traded asset. This situation typically arises in the context of real options. We investigate the situation when there is a "surrogate" traded asset S whose price process is highly correlated with that of (tilde...
Persistent link: https://www.econbiz.de/10005841724
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Quadratic hedging for the Bates model
Hubalek, Friedrich; Sgarra, Carlo - In: International journal of theoretical and applied finance 10 (2007) 5, pp. 873-885
Persistent link: https://www.econbiz.de/10003564682
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Esscher transforms and the minimal entropy matingale measure for exponential Lévy models
Hubalek, Friedrich (contributor); Sgarra, Carlo (contributor) - 2005
Persistent link: https://www.econbiz.de/10003221218
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Variance-optimal heding for processes with stationary independent increments
Hubalek, Friedrich; Kallsen, Jan; Krawczyk, Leszek - 2005
Persistent link: https://www.econbiz.de/10002830696
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The limitations of no-arbitrage arguments for real options
Hubalek, Friedrich; Schachermayer, Walter - In: International journal of theoretical and applied finance 4 (2001) 2, pp. 361-373
Persistent link: https://www.econbiz.de/10001578753
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Convergence of minimum entropy option prices for weakly converging incomplete market models
Hubalek, Friedrich; Hudetz, Thomas - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 559-560
Persistent link: https://www.econbiz.de/10001524384
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When does convergence of asset price processes imply convergence of option prices?
Hubalek, Friedrich - In: Mathematical finance : an international journal of … 8 (1998) 4, pp. 385-403
Persistent link: https://www.econbiz.de/10001252755