Results 31 to 40 of about 463,352 (288)
Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging [PDF]
SSRN Electronic Journal, 2015 44 pages; forthcoming in 'Finance and Stochastics'
Sebastian Herrmann, Johannes Muhle-Karbe
openaire +6 more sources
Single and cross-generation natural hedging of longevity and financial risk [PDF]
, 2012 The paper provides natural hedging strategies among death benefits and annuities written on a single and on different generations. It obtains closed-form Delta and Gamma hedges, in the presence of both longevity and interest rate risk.
Regis, Luca +5 more
core +1 more source
Return and Volatility Spillovers Among Major Cotton Markets
Agribusiness, EarlyView.ABSTRACT This study explores return and volatility transmission among major cotton markets. Several events have disrupted cotton supply and demand in recent years, leading to heightened price volatility and significant shifts in market interconnections.
Susmitha Kalli +3 more
wiley +1 more source
Optimal delta hedging for options
Journal of Banking & Finance, 2017 Abstract As has been pointed out by a number of researchers, the normally calculated delta does not minimize the variance of changes in the value of a trader's position. This is because there is a non-zero correlation between movements in the price of the underlying asset and movements in the asset's volatility.
John Hull, Alan White
openaire +1 more source
Cost Pass‐Through in Crisis: Evidence From the German Malt‐Beer Supply Chain
Agribusiness, EarlyView.Abstract Global agri‐food supply chains are increasingly exposed to geopolitical shocks, climate volatility, and market consolidation, factors that disrupt traditional price relationships and reshape market power dynamics. Nowhere is this more visible than in the brewing sector, where agricultural raw materials meet complex industrial processing and ...
Nikolas Bublik, Lukáš Čechura
wiley +1 more source
Open Physics, 2018 The Greek parameters in option pricing are derivatives used in hedging against option risks. In this paper, the Greeks of the continuous arithmetic Asian option pricing model are derived.
Edeki Sunday O. +3 more
doaj +1 more source
Timeline and Wavelets Method for Pricing Cash-or-Nothing Options [PDF]
Mathematics Interdisciplinary ResearchThis study investigates the application of the Haar wavelet method as an innovative and effective approach for valuing financial derivatives, particularly cash-or-nothing options. Valuing derivatives is a complex task in finance, requiring advanced
Saeed Vahdati, Foad Shokrollahi
doaj +1 more source
The Tracking Error Rate of the Delta-Gamma Hedging Strategy [PDF]
SSRN Electronic Journal, 2009 We analyze the convergence rate of the quadratic tracking error, when a Delta‐Gamma hedging strategy is used at N discrete times. The fractional regularity of the payoff function plays a crucial role in the choice of the trading dates, in order to achieve optimal rates of convergence.
Gobet, Emmanuel, Makhlouf, Azmi
openaire +3 more sources
Agribusiness, EarlyView.ABSTRACT Brazil and the United States account for more than 40% of global poultry exports, with China and South Korea among their major destination markets. This study examines price transmission and market linkages between Brazil and the United States using monthly poultry export price data from January 1990 to December 2024. It also assesses which of
Khondoker Abdul Mottaleb +2 more
wiley +1 more source
When the River Runs Low: Heterogeneous Impacts of Transportation Disruptions on Local Grain Basis
Agribusiness, EarlyView.ABSTRACT A substantial share of U.S. soybean and corn exports from the Midwest moves by barge along the Mississippi River system to export terminals in the Louisiana Gulf. Transportation costs between Midwestern grain elevators and export terminals create a wedge between prices at these locations, and shocks to these costs are partially passed on to ...
Yuan Zhang +3 more
wiley +1 more source