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Unique option pricing measure with neither dynamic hedging nor complete markets
Taleb, Nassim Nicholas - In: European financial management : the journal of the … 21 (2015) 2, pp. 228-235
Persistent link: https://www.econbiz.de/10010516685
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Analysis of price risk management strategies in dairy farming using whole-farm simulations
Neyhard, James; Tauer, Loren W.; Gloy, Brent - In: Journal of agricultural and applied economics 45 (2013) 2, pp. 313-327
Persistent link: https://www.econbiz.de/10009757070
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Forward variance dynamics : Bergomi's model revisited
Aly, Sidi Mohamed Ould - In: Applied mathematical finance 21 (2014) 1/2, pp. 84-107
Persistent link: https://www.econbiz.de/10010351856
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Implications for hedging of the choice of driving process for one-factor Markov-functional models
Kennedy, Joanne E.; Pham, Duy - In: International journal of theoretical and applied finance 16 (2013) 5, pp. 1-51
Persistent link: https://www.econbiz.de/10009783994
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How to hedge if the payment date is uncertain?
Korn, Olaf; Merz, Alexander - 2016 - [revised]
This paper is the first to study the hedging of price risk with uncertain payment dates, a frequent problem in practice …. It derives a variance-minimizing hedging strategy for two settings, the first employing linear contracts with different …
Persistent link: https://www.econbiz.de/10011506271
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Pricing portfolios of contracts on cumulative temperature with risk premium determination
Stojanovic, Srdjan; Göncü, Ahmet - In: Risk and decision analysis 5 (2014) 1, pp. 75-98
Persistent link: https://www.econbiz.de/10010492577
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Black-scholes representation for Asian options
Večeř, Jan - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 598-626
Persistent link: https://www.econbiz.de/10010485999
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Variance Gamma model in hedging vanilla and exotic options
Bollin, Bartłomiej; Ślepaczuk, Robert - 2020
Persistent link: https://www.econbiz.de/10012322240
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Futures hedging with stochastic volatility : a new method
Alghalith, Moawia; Floros, Christos - In: International journal of computational economics and … 10 (2020) 2, pp. 203-207
Persistent link: https://www.econbiz.de/10012226719
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Valuation of hybrid financial and actuarial products in life insurance by a novel three-step method
Deelstra, Griselda; Devolder, Pierre; Gnameho, Kossi; … - In: ASTIN bulletin : the journal of the International … 50 (2020) 3, pp. 709-742
Persistent link: https://www.econbiz.de/10012307394