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The value of tradeability
Chesney, Marc; Kempf, Alexander - 2010
This paper determines the value of asset tradeability in an option pricing framework. In our model, tradeability is valuable since it allows investors to exploit temporary mis-pricings of stocks. The model delivers several novel insights on the value of tradeability: The value of tradeability is...
Persistent link: https://www.econbiz.de/10008666521
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The value of tradeability
Chesney, Marc; Kempf, Alexander - 2011
This paper determines the value of asset tradeability in an option pricing framework. In our model, tradeability is valuable since it allows investors to exploit temporary mis-pricings of stocks. The model delivers several novel insights on the value of tradeability: The value of tradeability is...
Persistent link: https://www.econbiz.de/10009314017
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Model uncertainty and its impact on the pricing of derivative instruments
Cont, Rama - In: Mathematical finance : an international journal of … 16 (2006) 3, pp. 519-547
Persistent link: https://www.econbiz.de/10003338693
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Risk-neutral compatibility with option prices
Jacod, Jean; Protter, Philip E. - In: Finance and stochastics 14 (2010) 2, pp. 285-315
Persistent link: https://www.econbiz.de/10003951511
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Coherent acceptability measures in multiperiod models
Roorda, Berend; Schumacher, Johannes M.; Engwerda, … - In: Mathematical finance : an international journal of … 15 (2005) 4, pp. 589-612
Persistent link: https://www.econbiz.de/10003121131
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On minimizing risk in incomplete markets option pricing models
Hammarlid, Ola - In: International journal of theoretical and applied finance 1 (1998) 2, pp. 227-233
Persistent link: https://www.econbiz.de/10001240157
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Convex hedging of non-superreplicable claims in discrete-time market models
Tkalinski, Tomasz J. - In: Mathematical methods of operations research 79 (2014) 2, pp. 239-252
Persistent link: https://www.econbiz.de/10010347953
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Quadratic hedging of basis risk
Hulley, Hardy; McWalter, Thomas A. - In: Journal of risk and financial management : JRFM 8 (2015) 1, pp. 83-102
European claim. This allows pricing and hedging under the minimal martingale measure, corresponding to the local risk … pricing and hedging formulae for put and call options are derived in terms of the Black–Scholes formula. Due to market … an approximate hedging formula, which does not require knowledge of these parameters. The hedging strategies are tested …
Persistent link: https://www.econbiz.de/10011552886
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Pricing and hedging options in incomplete markets : idiosyncratic risk, systematic risk and stochastic volatility
Chauveau, Thierry; Gatfaoui, Hayette - 2004
Persistent link: https://www.econbiz.de/10002253934
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Pricing and Hedging in Incomplete Markets with Model Uncertainty
Balter, Anne - 2018
We search for a trading strategy and the associated robust price of unhedgeable assets in incomplete markets under the acknowledgement of model uncertainty. Our set-up is that we postulate an agent who wants to maximise the expected surplus by choosing an optimal investment strategy....
Persistent link: https://www.econbiz.de/10012937481