Search Results - subject:"Partial hedging"

Partial hedging in credit markets with structured derivatives : a quantitative approach using put options

Siggelkow, Constantin - In: Journal of derivatives and quantitative studies : … 32 (2024) 4, pp. 286-322

This study develops a novel method for mitigating credit risk through the use of structured derivatives, focusing in particular on the use of European put options as a strategic hedging tool. Inspired by the work of Merton (1974), our approach introduces the concept of default triggered by the...

Persistent link: https://www.econbiz.de/10015173788

Deep partial hedging

Hou, Songyan; Krabichler, Thomas; Wunsch, Marcus - In: Journal of Risk and Financial Management 15 (2022) 5, pp. 1-5

payoff functions that were first derived in the context of partial hedging by Föllmer and Leukert. Not only does this …

Persistent link: https://www.econbiz.de/10014332424

Deep partial hedging

Hou, Songyan; Krabichler, Thomas; Wunsch, Marcus - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-5

payoff functions that were first derived in the context of partial hedging by Föllmer and Leukert. Not only does this …

Persistent link: https://www.econbiz.de/10013273487