Narrow search
Showing 111 - 120 of 171,019
Cover Image
Pricing, hedging, and designing derivatives with risk measures
Barrieu, Pauline; El Karoui, Nicole - In: Indifference pricing : theory and applications, (pp. 77-146). 2009
Persistent link: https://www.econbiz.de/10003807579
Cover Image
Pricing and hedging wind power prediction risk with binary option contracts
Thakur, Jagruti; Hesamzadeh, Mohammad Reza; Date, Paresh; … - In: Energy economics 126 (2023), pp. 1-11
Persistent link: https://www.econbiz.de/10014483492
Cover Image
Pricing and risk management of multi-assets financial instruments to natural disasters
Chang, Jui-Jane; Huang, Pao-Hsien; Wu, Ting-Pin - In: Emerging markets, finance & trade : a journal of the … 60 (2024) 1, pp. 19-43
Persistent link: https://www.econbiz.de/10014444330
Cover Image
Risk management through financial hedging in inventory systems with stochastic price processes
Canyakmaz, Caner; Özekici, Süleyman; Karaesmen, Fikri - In: International journal of production economics 270 (2024), pp. 1-15
Persistent link: https://www.econbiz.de/10015049188
Cover Image
The relative efficiency of option hedging strategies using the third-order stochastic dominance
Gardijan Kedžo, Margareta; Šego, Boško - In: Computational management science 18 (2021) 4, pp. 477-504
Persistent link: https://www.econbiz.de/10012651326
Cover Image
Quantitative modeling of risk management strategies : stochastic reserving and hedging of variable annuity guaranteed benefits
Feng, Runhuan; Yi, Bingji - In: Insurance / Mathematics & economics 85 (2019), pp. 60-73
Persistent link: https://www.econbiz.de/10011990615
Cover Image
Multivariate continuous-time modeling of wind indexes and hedging of wind risk
Benth, Fred Espen; Christensen, Troels Sønderby; … - In: Quantitative finance 21 (2021) 1, pp. 165-183
Persistent link: https://www.econbiz.de/10012424641
Cover Image
Risk Managing Long-Dated Smile Risk with SABR Formula
Moni, Claudio - 2014
In this paper, we show that the sensitivities to the SABR parameters can be materially wrong then the SABR formula is used, in particular for long expiries and in high volatility environments. For example, we obtain positive sensitivities to the spot-vol correlation parameter for low strike...
Persistent link: https://www.econbiz.de/10013062318
Cover Image
Convex hedging of non-superreplicable claims in discrete-time market models
Tkalinski, Tomasz J. - In: Mathematical methods of operations research 79 (2014) 2, pp. 239-252
Persistent link: https://www.econbiz.de/10010347953
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