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A Cautionary Note on the Put-Call Parity under an Asset Pricing Model with a Lower Reflecting Barrier
Hertrich, Markus - In: Swiss Journal of Economics and Statistics 151 (2015) 3, pp. 227-260
-à-vis the euro has had on foreign exchange hedging costs. The analysis shows that in the analyzed period domestic investors may … have incurred substantial costs as a result of hedging exposure to the euro currency and may have been overexposed to …
Persistent link: https://www.econbiz.de/10011933334
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Conditional Asian options
Feng, Runhuan; Volkmer, Hans W. - In: International journal of theoretical and applied finance 18 (2015) 6, pp. 1-24
Persistent link: https://www.econbiz.de/10011403926
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Variance Gamma model in hedging vanilla and exotic options
Bollin, Bartłomiej; Ślepaczuk, Robert - 2020
Persistent link: https://www.econbiz.de/10012322240
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Simple robust hedging with nearby contracts
Wu, Liuren; Zhu, Jingyi - In: Journal of financial econometrics : official journal of … 15 (2017) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10011658670
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First-order calculus and option pricing
Carr, Peter - In: Journal of financial engineering 1 (2014) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10010508100
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Robust static hedging of barrier options in stochastic volatility models
Maruhn, Jan H.; Sachs, Ekkehard - In: Mathematical methods of operations research 70 (2009) 3, pp. 405-433
Persistent link: https://www.econbiz.de/10003909254
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Hedging strategy comparisons of volatility index options using diffusion models
Lin, Jun-Biao - In: The international journal of business and finance … 9 (2015) 3, pp. 59-69
Persistent link: https://www.econbiz.de/10011285427
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Semi-static hedging of barrier options under poisson jumps
Carr, Peter - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1091-1111
Persistent link: https://www.econbiz.de/10009407668
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Static hedging of standard options
Carr, Peter; Wu, Liuren - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 3-46
Persistent link: https://www.econbiz.de/10010233614
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Pricing and hedging of lookback options in hyper-exponential jump diffusion models
Hofer, Markus; Mayer, Philipp - In: Applied mathematical finance 20 (2013) 5/6, pp. 489-511
Persistent link: https://www.econbiz.de/10010235585