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A Cautionary Note on the Put-Call Parity under an Asset Pricing Model with a Lower Reflecting Barrier

Hertrich, Markus - In: Swiss Journal of Economics and Statistics 151 (2015) 3, pp. 227-260

-à-vis the euro has had on foreign exchange hedging costs. The analysis shows that in the analyzed period domestic investors may … have incurred substantial costs as a result of hedging exposure to the euro currency and may have been overexposed to …

Persistent link: https://www.econbiz.de/10011933334

Simple robust hedging with nearby contracts

Wu, Liuren; Zhu, Jingyi - In: Journal of financial econometrics : official journal of … 15 (2017) 1, pp. 1-35

Persistent link: https://www.econbiz.de/10011658670

Conditional Asian options

Feng, Runhuan; Volkmer, Hans W. - In: International journal of theoretical and applied finance 18 (2015) 6, pp. 1-24

Persistent link: https://www.econbiz.de/10011403926

Variance Gamma model in hedging vanilla and exotic options

Bollin, Bartłomiej; Ślepaczuk, Robert - 2020

Persistent link: https://www.econbiz.de/10012322240

First-order calculus and option pricing

Carr, Peter - In: Journal of financial engineering 1 (2014) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10010508100

Pricing and hedging basket options with exact moment matching

Leccadito, Arturo; Paletta, Tommaso; Tunaru, Radu - In: Insurance / Mathematics & economics 69 (2016), pp. 59-69

Persistent link: https://www.econbiz.de/10011530924

Pricing and hedging of energy spread options and volatility modulated Volterra processes

Benth, Fred Espen; Zdanowicz, Hanna - In: International journal of theoretical and applied finance 19 (2016) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10011453780

Simple formulas for pricing and hedging European options in the finite moment log-stable model

Aguilar, Jean-Philippe; Korbel, Jan - In: Risks : open access journal 7 (2019) 2/36, pp. 1-14

We provide ready-to-use formulas for European options prices, risk sensitivities, and P&L calculations under Lévy-stable models with maximal negative asymmetry. Particular cases, efficiency testing, and some qualitative features of the model are also discussed.

Persistent link: https://www.econbiz.de/10012019316

Analysis of VIX Markets with a time-spread portfolio

Papanicolaou, A. - In: Applied mathematical finance 23 (2016) 5/6, pp. 374-408

Persistent link: https://www.econbiz.de/10011704261

Pricing and hedging barrier options under a Markov-modulated double exponential jump diffusion-CIR model

Chen, Son-nan; Hsu, Pao-Peng - In: International review of economics & finance : IREF 56 (2018), pp. 330-346

Persistent link: https://www.econbiz.de/10012033703

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