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stochastic volatility
Theorie
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15
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15
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13
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13
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International Journal of Theoretical and Applied Finance (IJTAF)
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CREATES Research Papers
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Risks
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Applied economics letters
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1
When are Static
Superhedging
Strategies Optimal?
Branger, Nicole
;
Esser, Angelika
;
Schlag, Christian
-
2004
This paper deals with the
superhedging
of derivatives on incomplete markets, i.e. with portfolio strategies which … the analysis to static strategies. There is no such thing as the incomplete market when it comes to
superhedging
. Although …
Persistent link: https://www.econbiz.de/10010263307
Saved in:
2
Quantile hedging
Föllmer, Hans
;
Leukert, Peter
-
1998
to stay on the safe side by
superhedging
. But such strategies may require a large amount of initial capital. Here we …
Persistent link: https://www.econbiz.de/10010309909
Saved in:
3
Quantile hedging
FÃllmer, Hans
;
Leukert, Peter
- In:
Finance and Stochastics
3
(
1999
)
3
,
pp. 251-273
to stay on the safe side by
superhedging
. But such strategies may require a large amount of initial capital. Here we …
Persistent link: https://www.econbiz.de/10005613416
Saved in:
4
Quantile hedging
Föllmer, Hans
;
Leukert, Peter
-
Sonderforschungsbereich 373, Quantifikation und …
-
1998
to stay on the safe side by
superhedging
. But such strategies may require a large amount of initial capital. Here we …
Persistent link: https://www.econbiz.de/10010983573
Saved in:
5
On cross-currency models with stochastic volatility and correlated interest rates
Grzelak, Lech
;
Oosterlee, Kees
-
Volkswirtschaftliche Fakultät, …
-
2010
We construct multi-currency models with stochastic volatility and correlated stochastic interest rates with a full matrix of correlations. We frst deal with a foreign exchange (FX) model of Heston-type, in which the domestic and foreign interest rates are generated by the short-rate process of...
Persistent link: https://www.econbiz.de/10008587838
Saved in:
6
Asset Pricing in Incomplete Markets: Valuing Gas Storage Capacity
Zhao, Lin
;
van Wijnbergen, Sweder
-
2015
We investigate the relationship between the gas spot market and the price of gas storage capacity. Contrary to the common belief, the auction prices for gas storage are mostly affected by the volatility of current market prices rather than by the winter-summer price differences. This paper...
Persistent link: https://www.econbiz.de/10011403561
Saved in:
7
Asset pricing in incomplete markets : valuing gas storage capacity
Zhao, Lin
;
Wijnbergen, Sweder van
-
2015
We investigate the relationship between the gas spot market and the price of gas storage capacity. Contrary to the common belief, the auction prices for gas storage are mostly affected by the volatility of current market prices rather than by the winter-summer price differences. This paper...
Persistent link: https://www.econbiz.de/10011333083
Saved in:
8
A general decomposition formula for derivative prices in stochastic volatility models
Alòs, Elisa
-
Department of Economics and Business, Universitat …
-
2003
We see that the price of an european call option in a stochastic volatility framework can be decomposed in the sum of four terms, which identify the main features of the market that affect to option prices: the expected future volatility, the correlation between the volatility and the noise...
Persistent link: https://www.econbiz.de/10005772033
Saved in:
9
Pseudo--Arbitrage - A new Approach to Pricing and Hedging in Incomplete Markets
Sommer, Daniel
-
University of Bonn, Germany
-
1998
We develop a new approach to pricing and hedging contingent claims in incomplete markets. Mimicking as closely as possible in an incomplete markets framework the no--arbitrage arguments that have been developed in complete markets leads us to defining the concept of pseudo--arbitrage. Building...
Persistent link: https://www.econbiz.de/10004968199
Saved in:
10
Derivative Asset Analysis in Models with Level-Dependent and Stochastic Volatility
Frey, Rüdiger
-
University of Bonn, Germany
-
1997
In this survey we discuss models with level-dependent and stochastic volatility from the viewpoint of erivative asset analysis. Both classes of models are generalisations of the classical Black-Scholes model; they have been developed in an effort to build models that are flexible enough to cope...
Persistent link: https://www.econbiz.de/10004968274
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