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Analytical pricing of vulnerable options under a generalized jump-diffusion model

Fard, Farzad Alavi - In: Insurance / Mathematics & economics 60 (2015), pp. 19-28

Persistent link: https://www.econbiz.de/10010484842

Maximum entropy evaluation of asymptotic hedging error under a generalised jump-diffusion model

Fard, Farzad Alavi; Doko Tchatoka, Firmin; … - In: Journal of Risk and Financial Management 14 (2021) 3, pp. 1-19

In this paper we propose a maximum entropy estimator for the asymptotic distribution of the hedging error for options. Perfect replication of financial derivatives is not possible, due to market incompleteness and discrete-time hedging. We derive the asymptotic hedging error for options under a...

Persistent link: https://www.econbiz.de/10012611654

Risk aversion in family firms firms : what do we really know?

Hiebl, Martin R. W.; Fard, Farzad Alavi - In: Journal of risk finance : the convergence of financial … 14 (2013) 1, pp. 49-70

Persistent link: https://www.econbiz.de/10009763250

Pricing ruin-contingent life annuity under stochastic volatility

Rong, Ning; Fard, Farzad Alavi - In: Journal of risk finance : the convergence of financial … 14 (2013) 1, pp. 35-48

Persistent link: https://www.econbiz.de/10009763260

Pricing participating products with Markov-modulated jump-diffusion process : an efficient numerical PIDE approach

Fard, Farzad Alavi; Siu, Tak Kuen - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 712-721

Persistent link: https://www.econbiz.de/10010227894

Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process

Fard, Farzad Alavi; Rong, Ning - In: Annals of finance 10 (2014) 2, pp. 315-332

Persistent link: https://www.econbiz.de/10010350833

Maximum entropy evaluation of asymptotic hedging error under a generalised jump-diffusion model

Fard, Farzad Alavi; Doko Tchatoka, Firmin; … - 2015

Persistent link: https://www.econbiz.de/10011502469

Pricing and managing risks of European-style options in a Markovian regime-switching binomial model

Fard, Farzad Alavi; Siu, Tak Kuen - In: Annals of finance 9 (2013) 3, pp. 421-438

Persistent link: https://www.econbiz.de/10009776434

Maximum entropy evaluation of asymptotic hedging error under a generalised jump-diffusion model

Fard, Farzad Alavi; Doko Tchatoka, Firmin; … - In: Journal of risk and financial management : JRFM 14 (2021) 3/97, pp. 1-19

Persistent link: https://www.econbiz.de/10012484861

Optimal overbooking strategies in the airlines using dynamic programming approach in continuous time

Fard, Farzad Alavi; Sy, Malick; Ivanov, Dmitry - In: Transportation research / E : an international journal 128 (2019), pp. 384-399

Persistent link: https://www.econbiz.de/10012061151