Results 251 to 260 of about 3,253,312 (300)

Robust hedging strategies

Computers & Operations Research, 2012
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Raquel J. Fonseca, Berç Rustem
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ON OPTIMAL SUPER-HEDGING AND SUB-HEDGING STRATEGIES [PDF]

International Journal of Theoretical and Applied Finance, 2013
This paper proposes optimal super-hedging and sub-hedging strategies for a derivative on two underlying assets without any specification of the underlying processes. Moreover, the strategies are free from any model of the dependency between the underlying asset prices.
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Hedge Funds Trading Strategies and Leverage

SSRN Electronic Journal, 2022
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Huang, Wenli, Liu, Wenqiong, Lu, Lei, Mu, Congming   +3 more
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Delta hedging strategies comparison

European Journal of Operational Research, 2008
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Domenico De Giovanni, Sergio Ortobelli Lozza, Svetlozar T. Rachev   +2 more
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HEDGING STRATEGY WITH LANGEVIN EVOLUTION

International Journal of Theoretical and Applied Finance, 2000
In recent years there has been much attention paid to pricing and hedging models that are more general than the Black and Scholes' one, whose hypotheses often aren't satisfied by true market data. Sato and Takayasu proposed a market model that can produce price fluctuations with infinite variance from a deterministic behaviour of many market's dealers
S. Mariani, ROTUNDO, Giulia, TIROZZI, Benedetto   +2 more
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Minimax hedging strategy

Computational Economics, 1994
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Howe, M. A., Rustem, B., Selby, M. J. P.
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The Hedging Strategy of an Asian Option

2002
Summary: By a Generalized Clark Formula, this paper provides a hedging strategy for the Asian option calculated with geometric averaging. The hedging strategy is uncomplicated and easy to operate.
Yang, Zhaojun, Zou, Jiezhong
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To hedge or not to hedge: the performance of simple strategies for hedging foreign exchange risk

Journal of Multinational Financial Management, 2001
Abstract This paper investigates the efficacy of simple strategies for hedging foreign exchange risk. The strategies are: to always hedge, to never hedge, to hedge when the forward rate is at a premium, to hedge only when the premium is large, and a strategy based upon relative purchasing power parity. We find a strategy which hedges based upon large
Matthew R Morey, Marc W Simpson
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Optimal Hedging Strategies with an Application to Hedge Fund Replication

SSRN Electronic Journal, 2007
The derivation of the bi-variate Payoff Distribution model by Kat and Palaro (2005) represents an interesting contribution to the performance evaluation and asset pricing literature. Nonetheless, their approach for evaluating the function is significantly flawed. Recently, Papageorgiou et al. (2007) have proposed a much more robust approach to modeling
Alexandre Hocquard, Nicolas A. Papageorgiou, Bruno Remillard   +2 more
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OFFSHORE COMMODITY AND CURRENCY HEDGING STRATEGY WITH HEDGING COSTS

2002
This study explores the role of hedging costs in offshore hedging to minimize the risks associated with fluctuations in commodity export prices and exchange rates in international grain trade. The study focuses on three areas: (1) the effects of hedging costs in both commodity and currency futures hedging, (2) the relationship between hedging cost and ...
Jin, Hyun Joung, Koo, Won W., Jin, Hyun Joung, Koo, Won W.   +3 more
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