Purpose – The purpose of this paper is to describe a generalization of the familiar two-sample t-test for equality of means to the case where the sample values are to be given unequal weights. This is a natural situation in financial risk modeling when some samples are considered more reliable...

In this paper, we formulate the optimal hedging problem when the underlying stock price has jumps, especially for insiders who have more information than the general public. The jumps in the underlying price process depend on another diffusion process, which models a sequence of firm-specific...

We study a discrete time hedging and pricing problem in a market with liquidity costs. Using Leland’s discrete time replication scheme [Leland, H.E., 1985. Journal of Finance, 1283–1301], we consider a discrete time version of the Black–Scholes model and a delta hedging strategy. We derive...

The classical option hedging problems have mostly been studied under continuous-time or equally spaced discrete-time models, which ignore two important components in the actual price: random trading times and market microstructure noise. In this paper, we study optimal hedging strategies for...

Ever since the pioneering work of Cox, Ross and Rubinstein, tree models have been popular among asset pricing methods. On the other hand, statistical estimation of parameters of tree models has not been studied as much. In this paper, we use K Means Clustering method to estimate the parameters...

Purpose – The purpose of this paper is to describe a generalization of the familiar two‐sample t ‐test for equality of means to the case where the sample values are to be given unequal weights. This is a natural situation in financial risk modeling when some samples are considered more...

Purpose – The purpose of this paper is to find the optimal hedging strategy when an investor has budget constraints on both the initial capital and the future cash flow. Design/methodology/approach – The paper follows the utility minimization of the total cost, using convex utility functions...

We seek to determine whether a United States President's job approval rating is influenced by the Misery Index. This hypothesis is examined in two ways. First, we employ a nonlinear model that includes several macroeconomic variables: the current account deficit, exchange rate, unemployment,...