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additionalstandard options. …
Persistent link: https://www.econbiz.de/10005867623
This paper deals with the superhedging of derivatives on incomplete markets, i.e.with portfolio strategies which generate payoffs at least as high as that of a givencontingent claim. The simplest solution to this problem is in many cases a staticsuperhedge, i.e. a buy-and-hold strategy...
Persistent link: https://www.econbiz.de/10005867624
The vast majority of approaches to risk management, hedging, or portfolio planningassume that some model is given … much too complicated to solve in realisticmodel setups, we furthermore discuss robust hedging strategies determined …
Persistent link: https://www.econbiz.de/10005867667
The observed prices of out-of-the money put options seem too high given standardderivative pricing models. One possible … of put options do not necessarily reject standardasset pricing models. …
Persistent link: https://www.econbiz.de/10005867630
volatility or stochastic jumps or both of these riskfactors. The focus is on the pricing of European options. In a first step, we …
Persistent link: https://www.econbiz.de/10005867632