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Portfolio insurance and volatility : on the robustness of the Black-Scholes option pricing model
Frey, Rüdiger - 1993
Persistent link: https://www.econbiz.de/10000873425
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Risk minimizing hedging strategies under restricted information
Schweizer, Martin - 1993
Persistent link: https://www.econbiz.de/10000880233
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Risiko beim diskreten Hedgen von Optionen im Black/Scholes-Modell
Bär, Jürgen - 1994
Persistent link: https://www.econbiz.de/10000913802
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Wirtschaftliche Investitionsbewertung komplexer Produktionssysteme unter Berücksichtigung von Unsicherheit
Schreiber, Martin - 1994
Persistent link: https://www.econbiz.de/10013452436
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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
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Variance optimal hedging in discrete time
Schweizer, Martin - 1993
Persistent link: https://www.econbiz.de/10000855568
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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
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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
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The pricing and hedging of options in finitely elastic markets
Frey, Rüdiger - 1996
Persistent link: https://www.econbiz.de/10000939781