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Strategic asset valuation and higher stochastic moments : an adjusted black-scholes model
Milanesi, Gastón; Pesce, Gabriela; El Alabi, Emilio - In: Journal of contemporary management : JMC 4 (2015) 3, pp. 95-106
Persistent link: https://www.econbiz.de/10011392906
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Malliavin Calculus for Stochastic Strings with Applications To Barrier Options and Optimal Portfolios
Bueno-Guerrero, Alberto - 2017
We apply the Malliavin calculus to the stochastic string framework and obtain a Clark-Ocone-like formula. This result allows us to rewrite the hedging portfolio explicitly in terms of the Malliavin derivative of the discounted payoff. We illustrate this new result with two applications. Firstly,...
Persistent link: https://www.econbiz.de/10012960764
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A stochastic programming model for dynamic portfolio management with financial derivatives
Barro, Diana; Consigli, Giorgio; Varun, Vivek - In: Journal of banking & finance 140 (2022), pp. 1-21
Persistent link: https://www.econbiz.de/10013463145
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Time-discrete hedging of down-and-out puts with overnight trading gaps
Baule, Rainer; Rosenthal, Philip - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-20
stochastic volatility and jumps are present. …
Persistent link: https://www.econbiz.de/10012813892
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Introductory stochastic analysis for finance and insurance
Lin, X. Sheldon - 2006
Persistent link: https://www.econbiz.de/10013490484
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Finanzmathematik : die Bewertung von Derivaten
Irle, Albrecht - 2012 - 3., überarbeitete und erweiterte Auflage
Persistent link: https://www.econbiz.de/10014011423
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Portfolio insurance and volatility : on the robustness of the Black-Scholes option pricing model
Frey, Rüdiger; Stremme, Alexander - 1993
Persistent link: https://www.econbiz.de/10000412479
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On volatility smile and an investment strategy with out-of-the-money calls
Talponen, Jarno - In: Mathematics and financial economics 10 (2016) 2, pp. 113-125
Persistent link: https://www.econbiz.de/10011485897
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Delta hedging with the smile
Vähämaa, Sami - In: Essays on option-implied information, (pp. 47-72). 2004
Persistent link: https://www.econbiz.de/10002466449
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A Sharp Approximation for ATM-Forward Option Prices and Implied Volatilites
Stefanica, Dan - 2016
approximation is viable in practice: for options with implied volatility less than 95% and maturity less than three years, which …
Persistent link: https://www.econbiz.de/10013004349