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A note on utility indifference pricing
Gerer, Johannes; Dorfleitner, Gregor - In: International journal of theoretical and applied finance 19 (2016) 6, pp. 1-17
Persistent link: https://www.econbiz.de/10011572373
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Creation and valuation of instruments compensating lower share prices with the help of black-scholes formula
Zaremba, Leszek - In: Foundations of Management : the journal of Warsaw … 9 (2017) 1, pp. 25-32
In this paper, we present a 1-period model of the Polish financial market from the view point of KGHM, the Polish largest listed company that suffered huge declines in share prices from 125 PLN in August 2015 to 60 PLN in January 2015. Our goal is to show how KGHM might create a portfolio (with...
Persistent link: https://www.econbiz.de/10011856225
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Essays on derivatives pricing in incomplete markets
Gerer, Johannes - 2016
Persistent link: https://www.econbiz.de/10012128861
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Deep hedging: hedging derivatives under generic market frictions using reinforcement learning
Buehler, Hans; Gonon, Lukas; Teichmann, Josef; Wood, Ben; … - 2019
This article discusses a new application of reinforcement learning: to the problem of hedging a portfolio of “over … hedging instruments such as equities or listed options. The approach presented here is the first efficient and model …
Persistent link: https://www.econbiz.de/10012179635
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Price impacts of imperfect collateralization
Shiraya, Kenichiro; Takahashi, Akihiko - In: International journal of financial engineering 3 (2016) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10011532751
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Crypto quanto and inverse options
Alexander, Carol; Chen, Ding; Imeraj, Arben - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1005-1043
Persistent link: https://www.econbiz.de/10014370619
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Indifference pricing for contingent claims : large deviations effects
Robertson, Scott; Spiliopoulos, Konstantinos - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 335-371
Persistent link: https://www.econbiz.de/10011969147
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Valuation of hybrid financial and actuarial products in life insurance by a novel three-step method
Deelstra, Griselda; Devolder, Pierre; Gnameho, Kossi; … - In: ASTIN bulletin : the journal of the International … 50 (2020) 3, pp. 709-742
Persistent link: https://www.econbiz.de/10012307394
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Hedging (co)variance risk with variance swaps
Fonseca, José da; Grasselli, Martino; Ielpo, Florian - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 899-943
Persistent link: https://www.econbiz.de/10009380996
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Pricing illiquid options with n + 1 liquid proxies using mixed dynamic-static hedging
Halperin, Igor; Itkin, Andrey - In: International journal of theoretical and applied finance 16 (2013) 7, pp. 1-17
Persistent link: https://www.econbiz.de/10010233264