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Optimal hedging strategies for misspecified asset price models
Ahn, Hyungsok; Muni, Adviti; Swindle, Glen H. - In: Applied mathematical finance 6 (1999) 3, pp. 197-208
Persistent link: https://www.econbiz.de/10001490690
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On trading American options
Ahn, Hyungsok; Wilmott, Paul - 1999
Persistent link: https://www.econbiz.de/10009581675
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Exercise class
Ahn, Hyungsok; Wilmott, Paul - 1999
Persistent link: https://www.econbiz.de/10009582826
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The pricing of risky bonds : current models and future directions
Ahn, Hyungsok; Khadem, Varqa; Wilmott, Paul - 1999
Persistent link: https://www.econbiz.de/10009582837
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Various passport options and their valuation
Ahn, Hyungsok; Penaud, Antony; Wilmott, Paul - In: Applied mathematical finance 6 (1999) 4, pp. 275-292
Persistent link: https://www.econbiz.de/10001517817
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Exotic passport options
Penaud, Antony; Wilmott, Paul; Ahn, Hyungsok - In: Asia-Pacific financial markets 6 (1999) 2, pp. 171-182
Persistent link: https://www.econbiz.de/10001449321
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The end-of-the-year bonus : how to optimally reward a trader?
Ahn, Hyungsok; Dewynne, Jeff N.; Hua, Philip; Penaud, Antony - In: International journal of theoretical and applied finance 5 (2002) 3, pp. 279-306
Persistent link: https://www.econbiz.de/10001674217
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PAPERS - Optimal hedging strategies for misspecified asset price models
Ahn, Hyungsok; Muni, Adviti; Swindle, Glen - In: Applied mathematical finance 6 (1999) 3, pp. 197-208
Persistent link: https://www.econbiz.de/10008218040
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Misspecified asset price models and robust hedging strategies
Ahn, Hyungsok; Muni, Adviti; Swindle, Glen - In: Applied mathematical finance 4 (1997) 1, pp. 21-36
Persistent link: https://www.econbiz.de/10008219572
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Optimal hedging strategies for misspecified asset price models
Ahn, Hyungsok; Muni, Adviti; Swindle, Glen - In: Applied Mathematical Finance 6 (1999) 3, pp. 197-208
The Black-Scholes option pricing methodology requires that the model for the price of the underlying asset be completely specified. Often the underlying price is taken to be a geometric Brownian motion with a constant, known volatility. In practice one does not know precise values of parameters...
Persistent link: https://www.econbiz.de/10005462491