Search Results - subject:"Risk neutral pricing"

An assessment of model risk in pricing wind derivatives

Gracianti, Giovani; Rui, Zhou; Li, Johnny Siu-Hang; Wu, … - In: Annals of actuarial science : publ. by the Institute of … 17 (2023) 3, pp. 479-502

Persistent link: https://www.econbiz.de/10014436785

Unit-linked tontine : utility-based design, pricing and performance

Chen, An; Nguyen, Thai; Sehner, Thorsten - In: Risks : open access journal 10 (2022) 4, pp. 1-27

in the (non-)inclusion of guaranteed payments. We first price the unit-linked tontines by using the risk-neutral pricing …

Persistent link: https://www.econbiz.de/10013355394

Non-concave portfolio optimization with average value-at-risk

Zhang, Fangyuan - In: Mathematics and financial economics 17 (2023) 2, pp. 203-237

Persistent link: https://www.econbiz.de/10014328920

Loading pricing of catastrophe bonds and other long-dated, insurance-type contracts

Platen, Eckhard; Taylor, David - 2016

Persistent link: https://www.econbiz.de/10011778139

REIT market efficiency through a binomial option pricing tree approach

Ho, Kim Hin David; Tay, Shea Jean - In: Journal of Property Investment & Finance 34 (2016) 5, pp. 496-520

Purpose – The purpose of this paper is to examine the risk neutral and non-risk neutral pricing of Singapore Real … expected risk neutral prices is not significant and that the S-REIT is consistent with risk neutral pricing. If the ratio (of … risk neutral pricing. Findings – Capitacommercial Trust (CCT), Capitamall Trust (CMT) and Keppel Real Estate Investment …

Persistent link: https://www.econbiz.de/10014898676

REIT market efficiency through a binomial option pricing tree approach

Ho, Kim-hin David; Tay, Shea Jean - In: Journal of property investment & finance 34 (2016) 4, pp. 496-520

Persistent link: https://www.econbiz.de/10011599031

Option pricing under multifractional Brownian motion in a risk neutral framework

Di Sciorio, Fabrizio; Mattiozzi, Silvia - In: Estudios de economía aplicada : revista promovida por … 38 (2020) 3, pp. 273-283

Persistent link: https://www.econbiz.de/10012618054

Pricing temperature derivatives with a filtered historical simulation approach

Rui, Zhou; Li, Johnny Siu-Hang; Pai, Jeffrey - In: The European journal of finance 25 (2019) 15, pp. 1462-1484

Persistent link: https://www.econbiz.de/10012207113

Estimation of risk neutral measure for Polish stock market

Kliber, Paweł - In: e-Finanse: Financial Internet Quarterly 10 (2014) 2, pp. 28-37

In the paper we present the application of risk neutral measure estimation in the analysis of the index WIG20 from Polish stock market. The risk neutral measure is calculated from the process of the options on that index. We assume that risk neutral measure is the mixture of lognormal...

Persistent link: https://www.econbiz.de/10011551425

A Pricing Theory under a Finite Number of Securities Issued: A Synthesis of "Market Microstructure" and "Mathematical Finance"

Uchida, Yoshihiko; Yoshikawa, Daisuke - Institute for Monetary and Economic Studies, Bank of Japan - 2014

Traditional finance theory generally assumes a frictionless market, in which a risk premium is described only by price volatility. In reality, however, the risk premium is influenced by a range of factors including the market microstructure. This paper constructs a novel no- arbitrage and...

Persistent link: https://www.econbiz.de/10010775189