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Coherent price systems and uncertainty-neutral valuation : conference paper

Beißner, Patrick - 2013 - This version: 28 February, 2013

equivalent martingale measure is a folk theorem, see Harrison and Kreps (1979). We establish a microeconomic foundation of … martingale measure sets, in a dynamic trading framework under absence of prior depending arbitrage. We prove the existence of …

Persistent link: https://www.econbiz.de/10010338399

Coherent price systems and uncertainty-neutral valuation

Beißner, Patrick - 2012

and the existence of an equivalent martingale measure is a folk theorem, see Harrison and Kreps (1979). We establish a … equivalent symmetric martingale measure sets, in a dynamic trading framework under absence of prior depending arbitrage. We prove … price systems ; arbitrage ; equivalent symmetric martingale measures set (EsMM set) ; symmetric martingales ; Girsanov for G …

Persistent link: https://www.econbiz.de/10009512789

Martingale representation theorem for the G-expectation

Soner, Halil Mete; Touzi, Nizar; Jianfeng Zhang - 2010

This paper considers the nonlinear theory of G-martingales as introduced by Peng in [16, 17]. A martingale …

Persistent link: https://www.econbiz.de/10008798300

Stochastic modeling of private equity : an equilibrium based approach to fund valuation

Buchner, Axel (contributor); Kaserer, Christoph (contributor) - 2006

In this paper, we present a new approach to measure the returns of private equity investments based on a stochastic model of the dynamics of a private equity fund. Our stochastic model of a private equity fund consists of two independent stages: the stochastic model of the capital drawdowns and...

Persistent link: https://www.econbiz.de/10003751060

The transmission of monetary policy to the cost of hedging

Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2024

We analyze the transmission of monetary policy to the costs of hedging using options order book data. Monetary policy transmits to hedging costs both by changing the relevant state variables, such as the value of the underlying, its volatility and tail risk, and by affecting option market...

Persistent link: https://www.econbiz.de/10015175386

The transmission of monetary policy to the cost of hedging

Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2024

Persistent link: https://www.econbiz.de/10015158136

Robust hedging with proportional transaction costs

Dolinsky, Yan; Soner, Halil Mete - 2013

problem the optimization is over all the probability measures which satisfy an approximate martingale condition related to …

Persistent link: https://www.econbiz.de/10009750655

Liquidity models in continuous and discrete time

Gökay, Selim; Roch, Alexandre F.; Soner, Halil Mete - 2010

We survey several models of liquidity and liquidity related problems such as optimal execution of a large order, hedging and super-hedging options for a large trader, utility maximization in illiquid markets and price impact models with price manipulation strategies

Persistent link: https://www.econbiz.de/10008798305

Discrete-time option pricing with stochastic liquidity

Leippold, Markus; Schärer, Steven - 2016

Classical option pricing theories are usually built on the law of one price, neglecting the impact of market liquidity that may contribute to significant bid-ask spreads. Within the framework of conic finance, we develop a stochastic liquidity model, extending the discrete-time constant...

Persistent link: https://www.econbiz.de/10011515968

Bedingte Aktiengeschäfte

Dilger, Alexander - 2016

Bedingte Aktiengeschäfte sind solche, die nur bei Eintritt einer Bedingung wirksam werden, z. B. bei einer Übernahme oder der Wahl eines bestimmten Vorstandsvorsitzenden. Damit lassen sich Alternativen bewerten und Entscheidungen besser treffen.

Persistent link: https://www.econbiz.de/10011529047