Showing 41 - 50 of 332
Persistent link: https://www.econbiz.de/10005655274
Persistent link: https://www.econbiz.de/10005271576
Persistent link: https://www.econbiz.de/10001803214
Persistent link: https://www.econbiz.de/10007895494
Standard delta hedging fails to exactly replicate a European call option in the presence of transaction costs. We study a pricing and hedging model similar to the delta hedging strategy with an endogenous volatility parameter for the calculation of delta over time. The endogenous volatility...
Persistent link: https://www.econbiz.de/10013155931
Persistent link: https://www.econbiz.de/10003401571
Persistent link: https://www.econbiz.de/10003442070
Persistent link: https://www.econbiz.de/10003702449
Persistent link: https://www.econbiz.de/10003702460
This paper presents a method for solving multiperiod investment models with downside risk control characterized by the portfolio's worst outcome. The stochastic programming problem is decomposed into two subproblems: a nonlinear optimization model identifing the optimal terminal wealth and a...
Persistent link: https://www.econbiz.de/10012737929