搜索结果: 1-9 共查到“数量经济学 hedging”相关记录9条 . 查询时间(0.078 秒)
Hedging of game options in discrete markets with transaction costs
game options discrete markets transaction costs
2012/9/14
We construct algorithms for computation of prices and superhedging strategies for game options in general discrete time markets with transaction costs both from seller’s (upper arbitrage free price) a...
Preliminary remarks on option pricing and dynamic hedging
Quantitative finance option pricing, European option dynamic hedging replication arbitrage time series volatility abrupt changes model-free control nonstandard analysis.
2012/9/14
An elementary arbitrage principle and the existence of trends in financial time series, which is base on a theorem published in 1995 by P. Cartier and Y. Perrin,lead to a new understanding of option p...
Swing options on the gas market are american style option where daily quantities exercices are constrained and global quantities exerciced each year constrained too.The option holder has to decide eac...
Large liquidity expansion of super-hedging costs
Super-replication liquidity viscosity solutions asymptotic expansions.
2012/9/14
We consider a nancial market with liquidity cost as in C etin, Jarrow and Protter[3] where the supply function S"(s;) depends on a parameter"0 withS0(s;) =s corresponding to the perfect liquid si...
Numerical methods for the quadratic hedging problem in Markov models with jumps
Quadratic hedging Hamilton-Jacobi-Bellman equation Markov jump processes Par-tial integro-di erential equation Holder spaces electricity markets discretization schemes for PIDE.
2012/9/14
We develop algorithms for the numerical computation of the quadratic hedging strategy in incomplete markets modeled by pure jump Markov process. Using the Hamilton-Jacobi-Bellman approach, the value f...
Utility based pricing and hedging of jump diffusion processes with a view to applications
pricing hedging of jump diffusion processes marginal optimal hedge
2011/7/4
We discuss utility based pricing and hedging of jump di usion pro-
cesses with emphasis on the practical applicability of the framework. We
point out two diculties that seem to limit this applicabi...
Variance Optimal Hedging for continuous time processes with independent increments and applications
Variance Optimal continuous time processes independent increments applications
2010/11/3
Variance Optimal Hedging for continuous time processes with independent increments and applications.
On the Performance of Delta Hedging Strategies in Exponential Lévy Models
Laplace transform approach mean-variance hedging delta hedging Lévy processes model misspecification
2010/11/3
We consider the performance of non-optimal hedging strategies in exponential Lévy models. Given that both the payoff of the contingent claim and the hedging strategy admit suitable integral representa...
Robust mean-variance hedging in the single period model
The min-max problem mean-variance hedging maximum principle robust optimization
2010/11/2
We give an explicit solution of robust mean-variance hedging problem in the single period model for some type of contingent claims. The alternative approach is also considered.