Showing 1 - 6 of 6
The skew effect in market implied volatility can be reproduced by option pricing theory based on stochastic volatility models for the price of the underlying asset. Here we study the performance of the calibration of the S&P 500 implied volatility surface using the asymptotic pricing theory...
Persistent link: https://www.econbiz.de/10005759604
We consider an investor who maximizes expected exponential utility of terminal wealth, combining a static position in derivative securities with a traditional dynamic trading strategy in stocks. Our main result, obtained by studying the strict concavity of the utility-indifference price as a...
Persistent link: https://www.econbiz.de/10005166858
We consider an optimal liquidation problem with instantaneous price impact and stochastic resilience for small instantaneous impact factors. Within our modelling framework, the optimal portfolio process converges to the solution of an optimal liquidation problem with general semimartingale...
Persistent link: https://www.econbiz.de/10015359580
Persistent link: https://www.econbiz.de/10005184391
Persistent link: https://www.econbiz.de/10010539358
Persistent link: https://www.econbiz.de/10009400202