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Hedging Dependence Risk with Spread Options via the Power Frank and Power Student t Copulas
Tavin, Bertrand - 2014
volatility and implied correlation for spread options in order to analyze the available dependence models in terms of produced …-asset derivatives, of various payoffs and strikes, with a limited number of spread options. To do so, we propose two methods based on … the PF and PST copulas that allow a projection of the different aspects of dependence risk onto spread options elementary …
Persistent link: https://www.econbiz.de/10013064860
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An Intuitively Valid Algorithm for Adjusting the Correlation Matrix in Risk Management and Option Pricing
Numpacharoen, Kawee - 2012
Adjusting the correlation matrix plays an important role in risk management as well as option pricing. We usually …
Persistent link: https://www.econbiz.de/10013112820
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Counterparty Credit Risk and American Options
Klein, Peter - 2019
exercise an American option can be significantly different when there is counterparty credit risk. We show that it is not …
Persistent link: https://www.econbiz.de/10012906086
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Liquidity Options
Golts, Maxim - 2019
The financial crisis of 2007-2009 highlighted the importance of liquidity to many investors. University endowment funds, for example, were forced to sell publicly traded securities at substantially depressed values in order to meet funding commitments to private investments. Hedge funds engaged...
Persistent link: https://www.econbiz.de/10012906096
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Options and Risk
Bruno, Giovanni - 2020
the time-series of a particular option …
Persistent link: https://www.econbiz.de/10012830325
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An Efficient Rare Event Simulation-Based Methodology for Pricing and Risk Management of Financial Derivatives
Clark, Ephraim; Kontosakos, Vasileios; Mitra, Sovan; … - 2022
under Heston stochastic volatility, the associated option deltas, gammas and vegas, and CDS pricing that our method …
Persistent link: https://www.econbiz.de/10013406014
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Collateral Posting and Choice of Collateral Currency - Implications for Derivative Pricing and Risk Management
Fujii, Masaaki - 2010
eligible collateral and free replacement among them, the paper has found that the embedded ”cheapest-to-deliver” option can be …
Persistent link: https://www.econbiz.de/10013143724
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Strategien zur Absicherung ungewisser Verpflichtungen mit Transaktionskosten im Binomialmodell
Wehrmann, Dirk C. - 1998
Persistent link: https://www.econbiz.de/10000676156
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Dynamic utility indifference valuation via convex risk measures
Klöppel, Susanne; Schweizer, Martin - Institut für Schweizerisches Bankwesen <Zürich> - 2005
We study the dynamic utility indifference value process p(X) when the usefulness of X is evaluated via a dynamic monetary concave utility functional (DMCUF) instead of von Neumann/Morgenstern expected utility. A DMCUF is minus a dynamic convex risk measure. The key tools for our investigations...
Persistent link: https://www.econbiz.de/10005858886
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The Risk Management of Minimum Return Guarantees
Mahayni, Antje; Schlögl, Erik - 2003
option embedded into the savings plan is in fact a power option, and thus the specification of the ``fair'' contract …
Persistent link: https://www.econbiz.de/10010263089