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Robust mean-variance hedging and pricing of contingent claims in a one period model

Tevzadze, Revaz; Uzunashvili, T. - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-9

Persistent link: https://www.econbiz.de/10009624486

Pricing illiquid options with n + 1 liquid proxies using mixed dynamic-static hedging

Halperin, Igor; Itkin, Andrey - In: International journal of theoretical and applied finance 16 (2013) 7, pp. 1-17

Persistent link: https://www.econbiz.de/10010233264

Asymptotic power utility-based pricing and hedging

Kallsen, Jan; Muhle-Karbe, Johannes; Vierthauer, Richard - In: Mathematics and financial economics 8 (2014) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10010235420

Convex hedging of non-superreplicable claims in discrete-time market models

Tkalinski, Tomasz J. - In: Mathematical methods of operations research 79 (2014) 2, pp. 239-252

Persistent link: https://www.econbiz.de/10010347953

Quadratic hedging of basis risk

Hulley, Hardy; McWalter, Thomas A. - In: Journal of risk and financial management : JRFM 8 (2015) 1, pp. 83-102

European claim. This allows pricing and hedging under the minimal martingale measure, corresponding to the local risk … pricing and hedging formulae for put and call options are derived in terms of the Black–Scholes formula. Due to market … an approximate hedging formula, which does not require knowledge of these parameters. The hedging strategies are tested …

Persistent link: https://www.econbiz.de/10011552886