feature is more pronounced when the market is more volatile, and delivers better pricing as well as hedging performance under … various dynamic factor hedging schemes. …

adequacy of actuarial and financial approaches for pricing ILWs, as well as the aspects of basis risk. Finally, drivers of … demand and associated models frameworks from the purchaser's viewpoint are studied. Findings – Financial pricing approaches …

This paper sets up a one period model for pricing an option with a fuzzy payoff. The option is written on an underlying … asset that has a fuzzy price at the end of the period, modelled by means of triangular fuzzy numbers. The pricing … methodology used is the standard one for pricing derivatives, i.e. the so called risk neutral valuation. Combining the standard …

We propose and empirically study a pricing model for convertible bonds based on Monte Carlo simulation. The method uses … parametric representations of the early exercise decisions and consists of two stages. Pricing convertible bonds with the … pricing study of the US market, using 32 convertible bonds and 69 months of daily market prices. Our results do not confirm …

for European calls written on positive stock prices. In particular, we illustrate that many standard no-arbitrage …

methodology, in the model presented in the first section. Weappeal to the indifference pricing framework instead of the classic … change-of-numeraire theorem inincomplete markets via indifference pricing. Lastly, in the third essay, we propose a methodto … for pricing such CDOs. The high illiquidity of the CDOmarket coupled with the allowance of default in the underlying …