Results 21 to 30 of about 463,352 (288)
Naše Gospodarstvo, 2015 Na finančnih trgih se pri uporabi hedging tehnike pojavijo transakcijski stroški. V tem članku se obravnava problem uporabe delta hedging tehnike ter redukcije proporcionalnih transakcijskih stroškov. V literaturi navedene metode običajno temeljijo le na
Mastinšek Miklavž
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Neural Networks for Delta Hedging
, 2021 The Black-Scholes model, defined under the assumption of a perfect financial market, theoretically creates a flawless hedging strategy allowing the trader to evade risks in a portfolio of options. However, the concept of a "perfect financial market," which requires zero transaction and continuous trading, is challenging to meet in the real world ...
Son, Guijin, Kim, Joocheol
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Exponentially fitted block backward differentiation formulas for pricing options
Cogent Economics & Finance, 2021 A family of Exponentially Fitted Block Backward Differentiation Formulas (EFBBDFs) whose coefficients depend on a parameter and step-size is developed and implemented on the Black–Scholes partial differential equation (PDE) for the valuation of options ...
S. N. Jator +3 more
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The Annals of Applied Probability, 2000 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Effectiveness of Dynamic Hedging Using Options on the WIG20 in Current Market Conditions
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu, 2020 Based on previous research on the deviations of the prices of options on the WIG20 from the arbitrage restrictions and features, it was found that the number and scale of these deviations clearly decreased, thus improving the quality of the arbitrage ...
Ryszard Węgrzyn
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Pathwise no-arbitrage in a class of Delta hedging strategies [PDF]
Probability, Uncertainty and Quantitative Risk, 2016 We consider a strictly pathwise setting for Delta hedging exotic options, based on Föllmer's pathwise Itō calculus. Price trajectories are $d$-dimensional continuous functions whose pathwise quadratic variations and covariations are determined by a given local volatility matrix.
Schied, Alexander, Voloshchenko, Iryna
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Immunization and Hedging of Post Retirement Income Annuity Products
Risks, 2017 Designing post retirement benefits requires access to appropriate investment instruments to manage the interest rate and longevity risks. Post retirement benefits are increasingly taken as a form of income benefit, either as a pension or an annuity ...
Changyu Liu, Michael Sherris
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Student Models for a Risky Asset with Dependence: Option Pricing and Greeks
Austrian Journal of StatisticsWe propose several new models in finance known as the Fractal Activity Time Geometric Brownian Motion (FATGBM) models with Student marginals. We summarize four models that construct stochastic processes of underlying prices with short-range and long ...
Nikolai Leonenko +2 more
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Valuation on an Outside-Reset Option with Multiple Resettable Levels and Dates
Complexity, 2018 This paper studies an outside-reset option with multiple strike resets and reset dates, in which the strike price is adjusted by an external process associated with the underlying risky asset.
Guangming Xue, Bin Qin, Guohe Deng
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Applied Economic Perspectives and Policy, EarlyView.ABSTRACT Rational actors constantly incorporate information into their decision‐making behavior. Since there is often a time lag between the announcement of a policy and its implementation, an important question arises: when do rational actors incorporate new information into their market behavior, at the announcement or at the implementation of a ...
Tim Ölkers, Oliver Mußhoff
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