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Option Prices in a Model with Stochastic Disaster Risk

Seo, Sang Byung - 2020

mean and volatility of equity returns. Our model assumes a small risk of economic disaster that is calibrated based on …

Persistent link: https://www.econbiz.de/10012856361

Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties

Maier, Sebastian; Pflug, Georg; Polak, John W. - In: European journal of operational research : EJOR 285 (2020) 1, pp. 133-147

Persistent link: https://www.econbiz.de/10012239492

Dual representation of the cost of designing a portfolio satisfying multiple risk constraints

Bouveret, Géraldine - In: Applied mathematical finance 26 (2019) 3, pp. 222-256

Persistent link: https://www.econbiz.de/10012210285

On nonparametric predictive inference for asset and European option trading in the binomial tree model

Chen, Junbin; Coolen, Frank P. A.; Coolen-Maturi, Tahani - In: Journal of the Operational Research Society 70 (2019) 10, pp. 1678-1691

Persistent link: https://www.econbiz.de/10012214367

Utility maximization with proportional transaction costs under model uncertainty

Deng, Shuoqing; Tan, Xiaolu; Yu, Xiang - In: Mathematics of operations research 45 (2020) 4, pp. 1210-1236

Persistent link: https://www.econbiz.de/10012319659

Option portfolio management in a risk-neutral world

Golembiovsky, Dmitry Jurievich; Abramov, Anatoly Markovich - In: Journal of mathematical finance 8 (2018) 4, pp. 710-733

Persistent link: https://www.econbiz.de/10012016559

Generalized mean-reverting 4/2 Factor Model

Cheng, Yuyang; Escobar, Marcos; Gong, Zhenxian - In: Journal of risk and financial management : JRFM 12 (2019) 4/159, pp. 121

functions in closed-form, which help with pricing and risk measure calculations. In a numerical example, we demonstrate the … implied volatility surface (up to 100%) and on two risk measures: value at risk and expected shortfall where an increase of up …

Persistent link: https://www.econbiz.de/10012172988

Model uncertainty, improved Fréchet-Hoeffding bounds and applications in mathematical finance

Lux, Thibaut - 2017

Persistent link: https://www.econbiz.de/10012194488

Hedging derivatives on two assets with model risk

Matsumoto, Koichi; Shimizu, Keita - In: Asia Pacific financial markets 27 (2020) 1, pp. 83-95

Persistent link: https://www.econbiz.de/10012222377

An ergodic BSDE risk representation in a jump-diffusion framework

Guambe, Calisto; Mabitsela, Lesedi; Kufakunesu, Rodwell - In: International journal of theoretical and applied finance 24 (2021) 3, pp. 1-28

Persistent link: https://www.econbiz.de/10012652631

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