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Options, sunspots, and the creation of uncertainty
Bowman, David - In: Journal of political economy 105 (1997) 5, pp. 957-975
Persistent link: https://www.econbiz.de/10001228775
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Game theoretic analysis of incomplete markets : emergence of probabilities, nonlinear and fractional Black-Scholes equations
Kolokolʹcov, Vassilij N. - In: Risk and decision analysis 4 (2013) 3, pp. 131-161
Persistent link: https://www.econbiz.de/10010190161
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Creation and valuation of instruments compensating lower share prices with the help of black-scholes formula
Zaremba, Leszek - In: Foundations of Management : the journal of Warsaw … 9 (2017) 1, pp. 25-32
In this paper, we present a 1-period model of the Polish financial market from the view point of KGHM, the Polish largest listed company that suffered huge declines in share prices from 125 PLN in August 2015 to 60 PLN in January 2015. Our goal is to show how KGHM might create a portfolio (with...
Persistent link: https://www.econbiz.de/10011856225
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Total risk minimization using Monte Carlos simulations
Coleman, Thomas F.; Li, Yuying; Patron, Maria-Christina - In: Financial engineering, (pp. 593-635). 2008
Persistent link: https://www.econbiz.de/10003567761
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From stochastic dominance to Black-Scholes : an alternative option pricing paradigm
Oancea, Michael; Perrakis, Stylianos - In: Risk and decision analysis 5 (2014) 2/3, pp. 99-112
Persistent link: https://www.econbiz.de/10011285063
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On the smile effect and market imperfections in the presence of jumps and incomplete information
Bellalah, Mondher; Riva, Fabrice - In: Finance India : the quarterly journal of Indian … 15 (2001) 4, pp. 1279-1287
Persistent link: https://www.econbiz.de/10001666217
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Analyse der Effektivität von Absicherungsstrategien in unvollständigen Finanzmarktmodellen
Dudenhausen, Antje - 2001
Persistent link: https://www.econbiz.de/10001645751
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On volatility smiles and the valuation of equity and index options in the Paris bourse : theory and empirical tests
Bellalah, Mondher - In: International financial systems and stock volatility : …, (pp. 271-297). 2002
Persistent link: https://www.econbiz.de/10001783003
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Incomepleteness of markets driven by a mixed diffusion
Bellamy, N.; Jeanblanc, Monique - In: Finance and stochastics 4 (2000) 2, pp. 209-222
Persistent link: https://www.econbiz.de/10001487034
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Hedging of time discrete auto-regressive stochastic volatility options
Badescu, Alexandru; Castillo, Joan del; Ortega, Juan-Pablo - In: Annals of economics and statistics 123/124 (2016), pp. 271-306
Persistent link: https://www.econbiz.de/10011592752