Narrow search
Showing 1 - 10 of 865,244
Cover Image
A Diffusion Approximation to the Markov Chains Model of the Financial Market and the Expected Riskless Profit Under Selling of Call and Put Options
Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - Department of Economics and Finance Research and … - 2005
A discrete time model of financial markets is considered. It is assumed that the stock price evolution is described by a homogeneous Markov chain. In the focus of attention is the expected value of the guaranteed profit of the investor that arises when the jumps of the stock price are bounded....
Persistent link: https://www.econbiz.de/10005247726
Cover Image
A diffusion approximation to the Markov chains model of the financial market and the expected riskless profit under selling of call and put options
Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005
Persistent link: https://www.econbiz.de/10002569891
Cover Image
A diffusion approximation to the Markov chains model of the financial market and the expected riskless profit under selling of call and put options /
Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005
A discrete time model of financial markets is considered. It is assumed that the stock price evolution is described by a homogeneous Markov chain. In the focus of attention is the expected value of the guaranteed profit of the investor that arises when the jumps of the stock price are bounded....
Persistent link: https://www.econbiz.de/10009728973
Cover Image
A diffusion approximation for the riskless profit under selling of discrete time call options: Non-identically distributed jumps
Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005
A discrete time model of financial markets is considered. It is assumed that the relative jumps of the risky security price are independent non-identically distributed random variables. In the focus of attention is the expected non-risky profit of the investor that arises when the jumps of the...
Persistent link: https://www.econbiz.de/10010293743
Cover Image
Pricing and Hedging of Asian Options : Quasi-Explicit Solutions via Malliavin Calculus
Yang, Zhaojun - 2013
We use Malliavin calculus and the Clark-Ocone formula to derive the hedging strategy of an arithmetic Asian Call option … motion, which allows us to express hedging strategy and price of the Asian option as an analytic, that is closed form …
Persistent link: https://www.econbiz.de/10013095807
Cover Image
A diffusion approximation for the riskless profit under selling of discrete time call options : non-identically distributed jumps
Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005
Persistent link: https://www.econbiz.de/10002569872
Cover Image
A diffusion approximation for the riskless profit under selling of discrete time call options : non-identically distributed jumps
Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005
A discrete time model of financial markets is considered. It is assumed that the relative jumps of the risky security price are independent non-identically distributed random variables. In the focus of attention is the expected non-risky profit of the investor that arises when the jumps of the...
Persistent link: https://www.econbiz.de/10009728974
Cover Image
Hedging Volatility Risk of Exotic Structures Using Variance Derivatives
Zarov, Iliyan Radev - 2012
We investigate the effect of including variance derivatives as calibration and hedging instruments for pricing and … hedging exotic structures. This is studied empirically using market data for SPX and VIX derivatives applied in a stochastic …
Persistent link: https://www.econbiz.de/10013113731
Cover Image
Pricing and Hedging Asian-Style Options in Energy
Benth, Fred Espen - 2014
We solve the problem of pricing and hedging Asian-style options on energy with a quadratic risk criterion when trading … to this combined continuous-discrete quadratic hedging problem if the future price process is a special semimartingale …
Persistent link: https://www.econbiz.de/10013062779
Cover Image
Optimal Hedging Strategies for Options in Electricity Futures Markets
Hess, Markus - 2021
In this paper, we derive optimal hedging strategies for options in electricity futures markets. Optimality is measured … in terms of minimal variance and the associated minimal variance hedging portfolios are obtained by a stochastic maximum …
Persistent link: https://www.econbiz.de/10013232821