Results 11 to 20 of about 463,352 (288)
Известия Иркутского государственного университета: Серия "Математика", 2020 Using the approach of L.C.G. Rogers and S. Singh, we added liquidity costs accounting to the model with risk adjusted pricing methodology (RAPM), generalized by M. Jandacka and D. Sevcovic.
M. M. Dyshaev, V.E. Fedorov
doaj +1 more source
Robustness of Delta Hedging in a Jump-Diffusion Model
SIAM Journal on Financial Mathematics, 2023 Suppose an investor aims at Delta hedging a European contingent claim $h(S(T))$ in a jump-diffusion model, but incorrectly specifies the stock price's volatility and jump sensitivity, so that any hedging strategy is calculated under a misspecified model. When does the erroneously computed strategy super-replicate the true claim in an appropriate sense?
Frank Bosserhoff, Mitja Stadje
openaire +3 more sources
A Note on Delta Hedging in Markets with Jumps [PDF]
SSRN Electronic Journal, 2011 Modelling stock prices via jump processes is common in financial markets. In practice, to hedge a contingent claim one typically uses the so-called delta-hedging strategy. This strategy stems from the Black--Merton--Scholes model where it perfectly replicates contingent claims.
Mijatovic, Aleksandar, Urusov, Mikhail
openaire +3 more sources
Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk [PDF]
, 2013 This paper provides a closed-form Value-at-Risk (VaR) for the net exposure of an annuity provider, taking into account both mortality and interest-rate risk, on both assets and liabilities.
Regis, Luca, Luciano, Elisa
core +2 more sources
Pricing American Put Option using RBF-NN: New Simulation of Black-Scholes
Moroccan Journal of Pure and Applied Analysis, 2022 The present work proposes an Artificial Neural Network framework for calculating the price and delta hedging of American put option. We consider a sequence of Radial Basis function Neural Network, where each network learns the difference of the price ...
Zaineb El Kharrazi +2 more
doaj +1 more source
Delta-gamma-theta Hedging of Crude Oil Asian Options
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2015 Since Black-Scholes formula was derived, many methods have been suggested for vanilla as well as exotic options pricing. More of investing and hedging strategies have been developed based on these pricing models.
Juraj Hruška
doaj +1 more source
Intraday VIX Hedging via Deep Filtering: A State-Space Approach to Volatility Risk Management [PDF]
SHS Web of ConferencesThis paper develops a deep filtering framework for intraday VIX derivatives hedging that generalizes traditional stochastic volatility models. Volatility is mod-eled as a latent process in a partially observed state-space system, where neural networks ...
Liu Ningning
doaj +1 more source
Risks, 2023 This research article provides criticism and arguments why the canonical framework for derivatives pricing is incomplete and why the delta-hedging approach is not appropriate.
Jussi Lindgren
doaj +1 more source
Jurnal Akuntansi Universitas Jember, 2015 The paper exploresthe nature of CFDs as a derivative and CFDs as hedging instrumentin derivatif markets in Australia. It argues that CFDis leveraged instrument, which means they offer the potential to make a higher return from a smaller initial ...
Novi Wulandari Widiyanti
doaj +1 more source
Pricing, Risk and Volatility in Subordinated Market Models
Risks, 2020 We consider several market models, where time is subordinated to a stochastic process. These models are based on various time changes in the Lévy processes driving asset returns, or on fractional extensions of the diffusion equation; they were introduced
Jean-Philippe Aguilar +2 more
doaj +1 more source