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Optimal Static-Dynamic Hedges for Exotic Options under Convex Risk Measures
Ilhan, Aytac - 2008
We study the problem of optimally hedging exotic derivatives positions using a combination of dynamic trading strategies in underlying stocks, and static positions in vanilla options when the performance is quantified by a convex risk measure. We establish conditions for the existence of an...
Persistent link: https://www.econbiz.de/10012724587
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Optimal static-dynamic hedges for barrier options
Ilhan, Aytaç; Sircar, Kaushik Ronnie - In: Mathematical finance : an international journal of … 16 (2006) 2, pp. 359-385
Persistent link: https://www.econbiz.de/10003326016
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Accounting for risk aversion, vesting, job termination risk and multiple exercises in valuation of employee stock options
Leung, Tim; Sircar, Kaushik Ronnie - In: Mathematical finance : an international journal of … 19 (2009) 1, pp. 99-128
Persistent link: https://www.econbiz.de/10003818394
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A general framework for evaluating executive stock options
Sircar, Kaushik Ronnie; Xiong, Wei - In: Journal of economic dynamics & control 31 (2007) 7, pp. 2317-2349
Persistent link: https://www.econbiz.de/10003485116
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Multiscale intensity models and name grouping for valuation of multi-name credit derivatives
Papageorgiou, Evan; Sircar, Kaushik Ronnie - In: Applied mathematical finance 16 (2009) 3/4, pp. 353-383
Persistent link: https://www.econbiz.de/10003916203
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Stochastic volatility effects on defaultable bonds
Fouque, Jean-Pierre; Sircar, Kaushik Ronnie; Sølna, Knut - In: Applied mathematical finance 13 (2006) 3, pp. 215-244
Persistent link: https://www.econbiz.de/10003383651
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Queuing theoretic approaches to financial price fluctuations
Bayraktar, Erhan; Horst, Ulrich; Sircar, Kaushik Ronnie - In: Financial engineering, (pp. 637-677). 2008
Persistent link: https://www.econbiz.de/10003567765
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Oligopoly games under asymmetric costs and an application to energy production
Ledvina, Andrew; Sircar, Kaushik Ronnie - In: Mathematics and financial economics 6 (2012) 4, pp. 261-293
Persistent link: https://www.econbiz.de/10009623558
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A model for hedging load and price risk in the Texas electricity market
Coulon, Michael; Powell, Warren B.; Sircar, Kaushik Ronnie - In: Energy economics 40 (2013), pp. 976-988
Persistent link: https://www.econbiz.de/10010355997
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Second order multiscale stochastic volatility asymptotics : stochastic terminal layer analysis and calibration
Fouque, Jean-Pierre; Lorig, Matthew; Sircar, Kaushik Ronnie - In: Finance and stochastics 20 (2016) 3, pp. 543-588
Persistent link: https://www.econbiz.de/10011530043