Similar Search Results - EconBiz

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

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

The pricing and hedging of options in finitely elastic markets

Frey, Rüdiger - 1996

Persistent link: https://www.econbiz.de/10000939781

A systematic approach to pricing and hedging of international derivatives with interest rate risk

Frey, Rüdiger - 1996 - Rev. version

Persistent link: https://www.econbiz.de/10000946123

Superreplication in stochastic volatility models and optimal stopping

Frey, Rüdiger - 1998

Persistent link: https://www.econbiz.de/10000993233

A systematic approach to pricing and hedging of international derivatives with interest rate risk

Frey, Rüdiger - 1995

Persistent link: https://www.econbiz.de/10000908122

Risiko beim diskreten Hedgen von Optionen im Black/Scholes-Modell

Bär, Jürgen - 1994

Persistent link: https://www.econbiz.de/10000913802

Locally minimizing the credit risk

Lotz, Christopher - 1998

Persistent link: https://www.econbiz.de/10000987009

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

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