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A diffusion approximation to the Markov chains model of the financial market and the expected riskless profit under selling of call and put options

Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005

Persistent link: https://www.econbiz.de/10002569891

A diffusion approximation to the Markov chains model of the financial market and the expected riskless profit under selling of call and put options /

Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005

A discrete time model of financial markets is considered. It is assumed that the stock price evolution is described by a homogeneous Markov chain. In the focus of attention is the expected value of the guaranteed profit of the investor that arises when the jumps of the stock price are bounded....

Persistent link: https://www.econbiz.de/10009728973

A diffusion approximation for the riskless profit under selling of discrete time call options: Non-identically distributed jumps

Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005

A discrete time model of financial markets is considered. It is assumed that the relative jumps of the risky security price are independent non-identically distributed random variables. In the focus of attention is the expected non-risky profit of the investor that arises when the jumps of the...

Persistent link: https://www.econbiz.de/10010293743

Pricing and Hedging of Asian Options : Quasi-Explicit Solutions via Malliavin Calculus

Yang, Zhaojun - 2013

We use Malliavin calculus and the Clark-Ocone formula to derive the hedging strategy of an arithmetic Asian Call option … motion, which allows us to express hedging strategy and price of the Asian option as an analytic, that is closed form …

Persistent link: https://www.econbiz.de/10013095807

A diffusion approximation for the riskless profit under selling of discrete time call options : non-identically distributed jumps

Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005

Persistent link: https://www.econbiz.de/10002569872

A diffusion approximation for the riskless profit under selling of discrete time call options : non-identically distributed jumps

Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005

Persistent link: https://www.econbiz.de/10009728974

Hedging Volatility Risk of Exotic Structures Using Variance Derivatives

Zarov, Iliyan Radev - 2012

We investigate the effect of including variance derivatives as calibration and hedging instruments for pricing and … hedging exotic structures. This is studied empirically using market data for SPX and VIX derivatives applied in a stochastic …

Persistent link: https://www.econbiz.de/10013113731

Pricing and Hedging Asian-Style Options in Energy

Benth, Fred Espen - 2014

We solve the problem of pricing and hedging Asian-style options on energy with a quadratic risk criterion when trading … to this combined continuous-discrete quadratic hedging problem if the future price process is a special semimartingale …

Persistent link: https://www.econbiz.de/10013062779

Optimal Hedging Strategies for Options in Electricity Futures Markets

Hess, Markus - 2021

In this paper, we derive optimal hedging strategies for options in electricity futures markets. Optimality is measured … in terms of minimal variance and the associated minimal variance hedging portfolios are obtained by a stochastic maximum …

Persistent link: https://www.econbiz.de/10013232821

Bismut-Elworthy-Li formula for subordinated Brownian motion applied to hedging financial derivatives

Kateregga, M.; Mataramvura, S.; Taylor, D. - In: Cogent economics & finance 5 (2017) 1, pp. 1-25

formula holds for subordinated Brownian motion and, this representation is useful in developing simple and tractable hedging …

Persistent link: https://www.econbiz.de/10011886622