Narrow search
Showing 1 - 10 of 2,255
Cover Image
Wine price risk management : international diversification and derivative instruments
Kourtis, Apostolos; Markellos, Raphaēl N.; Psychoyios, … - In: International review of financial analysis 22 (2012), pp. 30-37
Persistent link: https://www.econbiz.de/10010219704
Cover Image
Risk management of interest rate derivative portfolios : a stochastic control approach
Kiriakopoulos, Konstantinos; Koulis, Alexandros - In: Journal of risk and financial management : JRFM 7 (2014) 4, pp. 130-149
In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the unique solution of the problem is guaranteed. The...
Persistent link: https://www.econbiz.de/10011552973
Cover Image
Strategic technology adoption and hedging under incomplete markets
Leippold, Markus; Stromberg, Jacob - 2014
We investigate the implications of technological innovation and non-diversifiable risk on entrepreneurial entry and optimal portfolio choice. In a real options model where two risk-averse individuals strategically decide on technology adoption, we show that the impact of non-diversifiable risk...
Persistent link: https://www.econbiz.de/10011293735
Cover Image
Hedging Volatility Risk of Exotic Structures Using Variance Derivatives
Zarov, Iliyan Radev - 2012
We investigate the effect of including variance derivatives as calibration and hedging instruments for pricing and … hedging exotic structures. This is studied empirically using market data for SPX and VIX derivatives applied in a stochastic …
Persistent link: https://www.econbiz.de/10013113731
Cover Image
Optimal Dynamic Hedging of Equity Options : Residual-Risks, Transaction-Costs, & Conditioning
Petrelli, Andrea - 2019
) method. Detailed here are (1) the option hedging strategy and its costs; (2) irreducible hedging errors associated with … realistically fat-tailed & asymmetric return distributions; (3) impact of transaction costs on hedging costs and hedge …-performance; (4) impact of conditioning hedging strategy on realized volatility. The asset returns are addressed by the General Auto …
Persistent link: https://www.econbiz.de/10012906140
Cover Image
Information Content of Hedge Fund Equity Option Holdings
Joenväärä, Juha - 2018
Using a representative sample of 13F reports providing novel information on option characteristics and prices, we document that hedge funds prefer to hold liquid high–embedded leverage options without lottery-like skewness. Various portfolios mimicking hedge funds' option holdings earn...
Persistent link: https://www.econbiz.de/10012935199
Cover Image
Mean-Variance Hedging and Optimal Investment in Heston's Model with Correlation
Černý, Aleš - 2020
This paper solves the mean-variance hedging problem in Heston's model with a stochastic opportunity set moving … derive formulas for the hedging strategy and the hedging error …
Persistent link: https://www.econbiz.de/10012705869
Cover Image
Learning, Pricing, Timing and Hedging of the Option to Invest for Perpetual Cash Flows with Idiosyncratic Risk
Song, Dandan - 2014
The paper considers the option of an investor to invest in a project that generates perpetual cash flows, of which the drift parameter is unobservable. The investor invests in a liquid financial market to partially hedge cash flow risk and estimation risk. We derive two 3-dimensional non-linear...
Persistent link: https://www.econbiz.de/10013062800
Cover Image
Pension Options Valuation and Hedging Bounds
Hao, Tao - 2009
In this paper, various option pricing models are used to provide analytical solutions to valuing defined pension liabilities (or securitised parts of pension liabilities) in incomplete markets. Unlike when markets are complete, there is not a single arbitrage-free price for liabilities but...
Persistent link: https://www.econbiz.de/10014218437
Cover Image
Pricing and Hedging Options on Assets with Options on Related Assets
Madan, Dilip B.; Wang, King - 2020
The problem studied is the pricing of options on the CBOE Skew index. The option pricing theory developed seeks to hedge the risk using positions in the market for options on a related asset and the option is then priced at the cost of this hedge. The theory is applied to pricing VIX options...
Persistent link: https://www.econbiz.de/10014095529