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Abdelghani, Mohamed N.; Melʹnikov, Aleksandr V. - In: Risks : open access journal 5 (2017) 4, pp. 1-21

on modeling of defaultable markets, pricing and hedging of defaultable claims and results on the probability of default …

Persistent link: https://www.econbiz.de/10011783347

Term structure modeling with overnight rates beyond stochastic continuity

Fontana, Claudio; Grbac, Zorana; Schmidt, Thorsten - In: Mathematical finance : an international journal of … 34 (2024) 1, pp. 151-189

Persistent link: https://www.econbiz.de/10014471210

The term structure of the price of variance risk

Andries, Marianne; Eisenbach, Thomas M.; Schmalz, Martin C. - 2015

We estimate the term structure of the price of variance risk (PVR), which helps distinguish between competing asset-pricing theories. First, we measure the PVR as proportional to the Sharpe ratio of short-term holding returns of delta-neutral index straddles; second, we estimate the PVR in a...

Persistent link: https://www.econbiz.de/10011303715

The information content of the term structure of risk-neutral skewness

Borochin, Paul; Chang, Hao; Wu, Yangru - In: Journal of empirical finance 58 (2020), pp. 247-274

Persistent link: https://www.econbiz.de/10012430679

Martingale approach in pricing and hedging European options under regime-switching

Milstein, Grigori N.; Spokoiny, Vladimir - 2011

The paper focuses on the problem of pricing and hedging a European contingent claim for an incomplete market model, in … function is evaluated using the martingale approach. The equivalent martingale measure is introduced in a way that the Markov …

Persistent link: https://www.econbiz.de/10010281592