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New proxy schemes for swing contracts
Koster, Frank; Oeltz, Daniel; Steffens, Angelina - In: The journal of energy markets 16 (2023) 4, pp. 15-30
Persistent link: https://www.econbiz.de/10014556497
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Risk Analysis and Hedging of Parisian Options Under a Jump-Diffusion Model
Kim, Kyoung-Kuk - 2019
cause dynamic hedging to fail. As an alternative, we investigate a quasi-static hedge of Parisian options under a more … contingent claims which are statically hedged. Through numerical experiments, we show the effectiveness of the suggested hedging …
Persistent link: https://www.econbiz.de/10012904013
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Hedging surprises, jumps, and model misspecification : a risk management perspective on hedging S&P 500 options
Kaeck, Andreas - In: Review of finance : journal of the European Finance … 17 (2013) 4, pp. 1535-1569
Persistent link: https://www.econbiz.de/10009776228
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VIX derivatives, hedging and vol-of-vol risk
Kaeck, Andreas; Seeger, Norman - In: European journal of operational research : EJOR 283 (2020) 2, pp. 767-782
Persistent link: https://www.econbiz.de/10012294919
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Conditional Asian options
Feng, Runhuan; Volkmer, Hans W. - In: International journal of theoretical and applied finance 18 (2015) 6, pp. 1-24
Persistent link: https://www.econbiz.de/10011403926
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On the equivalence of floating and fixed-strike Asian options
Henderson, Vicky; Wojakowski, Rafa L. - 2001
Persistent link: https://www.econbiz.de/10009581665
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Pricing CIR yield options by conditional moment matching
Prayoga, Adrian; Privault, Nicolas - In: Asia-Pacific financial markets 24 (2017) 1, pp. 19-38
Persistent link: https://www.econbiz.de/10011742283
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Moments of integrated exponential Lévy processes and applications to Asian options pricing
Brignone, Riccardo - In: Quantitative finance 22 (2022) 9, pp. 1717-1729
Persistent link: https://www.econbiz.de/10013367942
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Computational finance
Stentoft, Lars - In: Journal of risk and financial management : JRFM 13 (2020) 7/145, pp. 1-4
of numerical methods for pricing, hedging, and risk management of financial instruments. …
Persistent link: https://www.econbiz.de/10012309311
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Importance sampling for option Greeks with discontinuous payoffs
Tong, Shaolong; Liu, Guangwu - In: INFORMS journal on computing : JOC 28 (2016) 2, pp. 223-235
Persistent link: https://www.econbiz.de/10011489268