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When Are Static Superhedging S...
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1
When are Static
Superhedging
Strategies Optimal?
Branger, Nicole
;
Esser, Angelika
;
Schlag, Christian
-
2004
This paper deals with the
superhedging
of derivatives on incomplete markets, i.e. with portfolio strategies which … the analysis to static strategies. There is no such thing as the incomplete market when it comes to
superhedging
. Although …
Persistent link: https://www.econbiz.de/10010263307
Saved in:
2
Tractable Hedging - An Implementation of Robust Hedging Strategies
Branger, Nicole
;
Mahayni, Antje
-
Fachbereich Wirtschaftswissenschaft, Goethe …
-
2006
This paper analyzes tractable robust hedging strategies in diffusion-type models including stochastic volatility models. A robust hedging strategy avoids any losses as long as volatility stays within a given interval. It does not depend on the exact specification of the volatility process and...
Persistent link: https://www.econbiz.de/10005112800
Saved in:
3
Quantile hedging
Föllmer, Hans
;
Leukert, Peter
-
1998
to stay on the safe side by
superhedging
. But such strategies may require a large amount of initial capital. Here we …
Persistent link: https://www.econbiz.de/10010309909
Saved in:
4
Quantile hedging
FÃllmer, Hans
;
Leukert, Peter
- In:
Finance and Stochastics
3
(
1999
)
3
,
pp. 251-273
to stay on the safe side by
superhedging
. But such strategies may require a large amount of initial capital. Here we …
Persistent link: https://www.econbiz.de/10005613416
Saved in:
5
Quantile hedging
Föllmer, Hans
;
Leukert, Peter
-
Sonderforschungsbereich 373, Quantifikation und …
-
1998
to stay on the safe side by
superhedging
. But such strategies may require a large amount of initial capital. Here we …
Persistent link: https://www.econbiz.de/10010983573
Saved in:
6
On cross-currency models with stochastic volatility and correlated interest rates
Grzelak, Lech
;
Oosterlee, Kees
-
Volkswirtschaftliche Fakultät, …
-
2010
We construct multi-currency models with stochastic volatility and correlated stochastic interest rates with a full matrix of correlations. We frst deal with a foreign exchange (FX) model of Heston-type, in which the domestic and foreign interest rates are generated by the short-rate process of...
Persistent link: https://www.econbiz.de/10008587838
Saved in:
7
Asset Pricing in Incomplete Markets: Valuing Gas Storage Capacity
Zhao, Lin
;
van Wijnbergen, Sweder
-
2015
We investigate the relationship between the gas spot market and the price of gas storage capacity. Contrary to the common belief, the auction prices for gas storage are mostly affected by the volatility of current market prices rather than by the winter-summer price differences. This paper...
Persistent link: https://www.econbiz.de/10011403561
Saved in:
8
Tractable Hedging: An Implementation of Robust Hedging Strategies
Branger, Nicole
;
Mahayni, Antje
-
2004
This paper provides a theoretical and numerical analysis of robust hedging strategies in diffusion?type models including stochastic volatility models. A robust hedging strategy avoids any losses as long as the realised volatility stays within a given interval. We focus on the effects of...
Persistent link: https://www.econbiz.de/10010316082
Saved in:
9
Asset pricing in incomplete markets : valuing gas storage capacity
Zhao, Lin
;
Wijnbergen, Sweder van
-
2015
We investigate the relationship between the gas spot market and the price of gas storage capacity. Contrary to the common belief, the auction prices for gas storage are mostly affected by the volatility of current market prices rather than by the winter-summer price differences. This paper...
Persistent link: https://www.econbiz.de/10011333083
Saved in:
10
A general decomposition formula for derivative prices in stochastic volatility models
Alòs, Elisa
-
Department of Economics and Business, Universitat …
-
2003
We see that the price of an european call option in a stochastic volatility framework can be decomposed in the sum of four terms, which identify the main features of the market that affect to option prices: the expected future volatility, the correlation between the volatility and the noise...
Persistent link: https://www.econbiz.de/10005772033
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