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Option hedging for small investors under liquidity costs

Soner, H. Mete; Cetin, Umut; Touzi, Nizar - London School of Economics (LSE) - 2010

Following the framework of Cetin et al. (finance stoch. 8:311-341, 2004), we study the problem of super-replication in the presence of liquidity costs under additional restrictions on the gamma of the hedging strategies in a generalized black-scholes economy. We find that the minimal...

Persistent link: https://www.econbiz.de/10010745343

Coherent price systems and uncertainty-neutral valuation

Beißner, Patrick - 2012

Persistent link: https://www.econbiz.de/10010320000

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

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

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

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/10015211274

Option Pricing with Discrete Rebalancing

Prigent, Jean-Luc; Renault, Olivier; Scaillet, Olivier - 2002

This paper considers the option pricing when dynamic portfolios are discretely rebalanced.

Persistent link: https://www.econbiz.de/10005843341

Risk Attitudes of Bond Investors

Kellerhals, B. Philipp; Schöbel, Rainer - 2001

In this paper the authors measure the risk attitudes of bond investors which can be revealed from settled market prices. They present an equilibrium model which focuses on the stochastic behavior of tastes in addition to the dynamics of investor beliefs.

Persistent link: https://www.econbiz.de/10005846139

Actuarial Transform Pricing

Ruban, Oleg; Vitiello, Luiz; Poon, Ser-Huang - Manchester Business School - 2006

This article studies four transform pricing methods in the context of generalequilibrium (GE) framework. The four methods, viz. the Esscher transform, indifferencepricing, the Wang transform, and the standard deviation loading, arepopular among actuarial literature and practice. The transform...

Persistent link: https://www.econbiz.de/10005870122

On the neutrality of socially responsible investing

Arnold, Lutz G. - In: Theoretical Economics 18 (2023) 1, pp. 65-95

This paper investigates the conditions under which socially responsible investment (SRI) is neutral from the viewpoint of general equilibrium theory. Three conditions are jointly sufficient for neutrality of SRI. First, the financial market is complete and SRI does not compromise the spanning...

Persistent link: https://www.econbiz.de/10014536933