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Mean Square Error for the Leland-Lott Hedging Strategy : Convex Pay-Off
Lepinette, Emmanuel - 2012
Leland's approach to the hedging of derivatives under proportional transaction costs is based on an approximate replication of the European-type contingent claim VT using the classical Black Scholes formulae with a suitably enlarged volatility. The formal mathematical framework is a scheme of...
Persistent link: https://www.econbiz.de/10013107816
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An introduction to derivatives and risk management
Chance, Don M.; Brooks, Robert - 2016 - 10. ed.
Persistent link: https://www.econbiz.de/10011381328
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An introduction to derivatives and risk management
Chance, Don M. - 2004 - 6. ed., internat. student ed.
Persistent link: https://www.econbiz.de/10001786590
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An introduction to derivatives and risk management
Chance, Don M.; Brooks, Robert - 2007 - 7. ed., internat. student ed.
Persistent link: https://www.econbiz.de/10003399203
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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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An Introduction to Derivatives and Asset Pricing : A Conceptual Framework
Ohoukoh, Kokou - 2021
This paper provides an introduction to derivative products and markets. It also reviews the basic conceptual framework for asset pricing. Derivative products and markets are defined and insight into asset pricing is provided. This is based on assumptions of no-arbitrage and frictionless markets....
Persistent link: https://www.econbiz.de/10013250381
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Optimal investment in a Black-Scholes model with a bubble
Herdegen, Martin; Herrmann, Sebastian - 2013
There are two major streams of literature on the modeling of financial bubbles: the strict local martingale framework … can exhibit strict local martingale behavior, we clarify the connection between these previously disconnected approaches …. While the original JLS model is never a strict local martingale, there are relaxations which can be strict local martingales …
Persistent link: https://www.econbiz.de/10010257486
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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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Black scholes for portfolios of options in discrete time : the price is right, the hedge is wrong
Peeters, Bas; Dert, Cees; Lucas, André - 2003
Taking a portfolio perspective on option pricing and hedging, we show that within the standard Black-Scholes-Merton framework large portfolios of options can be hedged without risk in discrete time. The nature of the hedge portfolio in the limit of large portfolio size is substantially different...
Persistent link: https://www.econbiz.de/10011334345
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Introduction to the mathematics of finance : from risk management to options pricing
Roman, Steven - 2004
Persistent link: https://www.econbiz.de/10002153272