Search Results - subject:"Option hedging"

Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method

Elliott, Robert J.; Siu, Tak Kuen - In: The journal of futures markets 43 (2023) 7, pp. 925-950

Persistent link: https://www.econbiz.de/10014293270

Robust risk-aware option hedging

Wu, David; Jaimungal, Sebastian - In: Applied mathematical finance 30 (2023) 3, pp. 153-174

Persistent link: https://www.econbiz.de/10015051231

On the directional destabilizing feedback effects of option hedging

Sornette, Didier; Ulmann, Florian; Wehrli, Alexander - 2022

We investigate the feedback effect of option hedging activity on the stability of the price of the underlying. While … (depending on the option parameters and its delta) when option hedging is present, in line with the predictions of our model … option hedging indeed can be expected to impact and even destabilize prices. Using the example of the GameStop stock in early …

Persistent link: https://www.econbiz.de/10013192086

Quadratic hedging of basis risk

Hulley, Hardy; McWalter, Thomas A. - In: Journal of Risk and Financial Management 8 (2015) 1, pp. 83-102

This paper examines a simple basis risk model based on correlated geometric Brownian motions. We apply quadratic criteria to minimize basis risk and hedge in an optimal manner. Initially, we derive the Föllmer-Schweizer decomposition for a European claim. This allows pricing and hedging under...

Persistent link: https://www.econbiz.de/10011843253

Quadratic Hedging of Basis Risk

Hulley, Hardy; McWalter, Thomas A. - In: Journal of Risk and Financial Management 8 (2015) 1, pp. 83-102

This paper examines a simple basis risk model based on correlated geometric Brownian motions. We apply quadratic criteria to minimize basis risk and hedge in an optimal manner. Initially, we derive the Föllmer–Schweizer decomposition for a European claim. This allows pricing and hedging under...

Persistent link: https://www.econbiz.de/10011152642

Quadratic hedging of basis risk

Hulley, Hardy; McWalter, Thomas A. - In: Journal of risk and financial management : JRFM 8 (2015) 1, pp. 83-102

This paper examines a simple basis risk model based on correlated geometric Brownian motions. We apply quadratic criteria to minimize basis risk and hedge in an optimal manner. Initially, we derive the Föllmer–Schweizer decomposition for a European claim. This allows pricing and hedging under...

Persistent link: https://www.econbiz.de/10011552886

A few insights into cliquet options

Guillaume, Tristan - HAL - 2012

This paper deals with a subset of lookback options known as cliquet options. The latter lock in the best underlying asset price over a number of prespecified dates during the option life. The specific uses of these contracts are analyzed, as well as two different hedging techniques. Closed form...

Persistent link: https://www.econbiz.de/10010898897

Quadratic Hedging of Basis Risk

Hulley, Hardy; McWalter, T. A. - Finance Discipline Group, Business School - 2008

, and are compared with recent results achieved using a utility maximization approach. Key Words. Option hedging, incomplete …’, Stochastics and Stochastics Reports 30(2), 123{131. Schweizer, M. (1991), ‘Option hedging for semimartingales’, Stochastic …. C. Schuck, eds, ‘System Theory: Modeling, Analysis and Control’, Kluwer, pp. 245{254. Davis, M. H. A. (2006), Option …

Persistent link: https://www.econbiz.de/10005027624

The IGARCH e®ect: Consequences on volatility forecasting and option trading

HERZEL, Stefano; STARICA, Catalin; NORD, Thomas - Dipartimento di Economia, Università degli Studi di Perugia - 2007

This paper studies the integrated Garch (IGARCH) e®ect, a phenomenon often encountered when estimating conditional auto-regressive models on ¯nancial time series. The analysis of twelve indexes of major ¯nancial markets provides empirical evidence of its well-spread presence especially in...

Persistent link: https://www.econbiz.de/10005649732

Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong

Peeters, Bas; Dert, Cees L.; Lucas, André - 2003

Taking a portfolio perspective on option pricing and hedging, we show that within the standard Black-Scholes-Merton framework large portfolios of options can be hedged without risk in discrete time. The nature of the hedge portfolio in the limit of large portfolio size is substantially different...

Persistent link: https://www.econbiz.de/10010324983