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Unique option pricing measure with neither dynamic hedging nor complete markets
Taleb, Nassim Nicholas - In: European financial management : the journal of the … 21 (2015) 2, pp. 228-235
Persistent link: https://www.econbiz.de/10010516685
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A cautionary note on the put-call parity under an asset pricing model with a lower reflecting barrier
Hertrich, Markus - In: Swiss journal of economics and statistics 151 (2015) 3, pp. 227-260
-à-vis the euro has had on foreign exchange hedging costs. The analysis shows that in the analyzed period domestic investors may … have incurred substantial costs as a result of hedging exposure to the euro currency and may have been overexposed to …
Persistent link: https://www.econbiz.de/10011341666
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Forward variance dynamics : Bergomi's model revisited
Aly, Sidi Mohamed Ould - In: Applied mathematical finance 21 (2014) 1/2, pp. 84-107
Persistent link: https://www.econbiz.de/10010351856
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Black-scholes representation for Asian options
Večeř, Jan - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 598-626
Persistent link: https://www.econbiz.de/10010485999
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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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Hedging of American options in illiquid markets with price impacts
Roch, Alexandre F. - In: International journal of theoretical and applied … 25 (2022) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10013189932
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Variance Gamma model in hedging vanilla and exotic options
Bollin, Bartłomiej; Ślepaczuk, Robert - 2020
Persistent link: https://www.econbiz.de/10012322240
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Improving the option pricing performance of GARCH models in inefficient market
Lahouel, Noureddine; Hellara, Slaheddine - In: Investment management and financial innovations 17 (2020) 2, pp. 14-25
Persistent link: https://www.econbiz.de/10012303053
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Gold price risk management through Nova 3 option strategy created by barrier options
Šoltés, Michal; Harčariková, Monika - In: Investment management and financial innovations 13 (2016) 1, pp. 49-60
Persistent link: https://www.econbiz.de/10011630674
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Participating contingent premium options
Rajae, Aboulaich; Amina, Dchieche - In: Review of Pacific Basin financial markets and policies 20 (2017) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10011697145