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Closed form representations for the minimal hedging portfolios of American type contingent claims

Kramkov, D. O. - 1994

Persistent link: https://www.econbiz.de/10000895889

Variance optimal hedging in discrete time

Schweizer, Martin - 1993

Persistent link: https://www.econbiz.de/10000855568

Portfolio insurance and volatility : on the robustness of the Black-Scholes option pricing model

Frey, Rüdiger - 1993

Persistent link: https://www.econbiz.de/10000873425

Risk minimizing hedging strategies under restricted information

Schweizer, Martin - 1993

Persistent link: https://www.econbiz.de/10000880233

Pricing and hedging of contingent claims in term structure models with exogenous issuing of new bonds

Sommer, Daniel - 1997

Persistent link: https://www.econbiz.de/10000954639

Utility maximization and risk minimization in life and pension insurance

Nielsen, Peter Holm - 2004

Persistent link: https://www.econbiz.de/10002789940

Monte Carlo methods for pricing and hedging American options

Milʹstejn, Grigorij N.; Reiß, Oliver; Schoenmakers, John - Weierstraß-Institut für Angewandte Analysis und Stochastik - 2003

We introduce a new Monte Carlo method for constructing the exercise boundary of an American option in a generalized Black-Scholes framework. Based on a known exercise boundary, it is shown how to price and hedge the American option by Monte Carlo simulation of suitable probabilistic...

Persistent link: https://www.econbiz.de/10001802364

Bivariate error correction FIGARCH and FIAPARCH models on the Australian All Ordinaries Index and its SPI futures

Dark, Jonathan - 2004

Persistent link: https://www.econbiz.de/10002005559

Long memory in the volatility of the Australian All Ordinaries Index and the Share Price Index futures

Dark, Jonathan - 2004

Persistent link: https://www.econbiz.de/10002005584

Basis convergence and long memory in volatility when dynamic hedging with SPI futures

Dark, Jonathan - 2004

Persistent link: https://www.econbiz.de/10002005599