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Föllmer, Hans; Leukert, Peter - 1998

study the question what an investor can do who is unwilling to spend that much, and who is ready to use a hedging strategy … which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at …

Persistent link: https://www.econbiz.de/10009574876

Efficient hedging for a complete jump-diffusion model

Kirch, Michael; Krutchenko, R. N.; Melʹnikov, Aleksandr V. - 2002

; Quantile Hedging ; jump-diffusion ; martingale Measure …This paper is devoted to the problem of hedging contingent claims in the framework of a complete two-factor jump … determine the unique hedging strategies which minimize a suitably defined shortfall risk under a given cost constraint. We …

Persistent link: https://www.econbiz.de/10009621417

Initial offerings of options

Müller, Sigrid M. - 2001

This paper considers the introduction of stock options in an (dynamically) incomplete securities market made up of a riskless bond and the stock. The stock price follows a geometric Brownian motion with constant drift. However, there is incomplete information about the unknown stochastic...

Persistent link: https://www.econbiz.de/10009613613

Local risk-minimization under transaction costs

Lamberton, Damien; Pham, Huyên; Schweizer, Martin - 1998

We propose a new approach to the pricing and hedging of contingent claims under transaction costs in a general … parameter is sufficiently small. -- option pricing ; hedging ; transaction costs ; locally risk-minimizing strategies ; mean …

Persistent link: https://www.econbiz.de/10009576212

Efficient hedging : cost versus shortfall risk

Föllmer, Hans; Leukert, Peter - 1999

An investor faced with a contingent claim may eliminate risk by (super-)hedging in a financial market. As this is often …-)hedge, depending on the accepted level of shortfall risk. -- risk management ; stochastic volatility ; shortfall risk ; Hedging …

Persistent link: https://www.econbiz.de/10009579176

Quantifying the value of initial investment information

Amendinger, Jürgen; Becherer, Dirk; Schweizer, Martin - 2000

of independent interest, namely a martingale preserving change of measure and a martingale representation theorem for … initially enlarged filtrations. -- utility maximization ; value of information ; initial enlargement of filtrations ; Martingale …

Persistent link: https://www.econbiz.de/10009583881

A benchmark model for financial markets

Platen, Eckhard - 2001

This paper introduces a benchmark model for financial markets, which is based on the unique characterization of a benchmark portfolio that is chosen to be the growth optimal portfolio. The general structure of risk premia for asset prices and portfolios is derived. Furthermore, the short rate is...

Persistent link: https://www.econbiz.de/10009614289

Malliavin's calculus in insider models : additional utility and free lunches

Imkeller, Peter - 2002

information drift, i.e. the drift to eliminate in order to preserve the martingale property in the insider's filtration, turns out … ; enlargement of filtrations ; Malliavin's calculus ; free lunch ; arbitrage ; equivalent martingale measure ; Bessel process …

Persistent link: https://www.econbiz.de/10009620768

A minimality property of the minimal martingale measure

Schweizer, Martin - 1998

Let X be a continuous adapted process for which there exists an equivalent local martingale measure (ELMM). The minimal … martingale measure P is the unique ELMM for X with the property that local P-martingales strongly orthogonal to the P-martingale … ; minimal martingale measure ; equivalent martingale measures …

Persistent link: https://www.econbiz.de/10009578560

A note on limit theorems for multivariate martingales

Küchler, Uwe; Sørensen, Michael - 1998

Multivariate versions of the law of large numbers and the central limit theorem for martingales are given in a generality that is often necessary when studying statistical inference for stochastic process models. To illustrate the usefulness of the results, we consider estimation for a...

Persistent link: https://www.econbiz.de/10009578583