Hedging and Pricing
On Hedging and Pricing of Options
... Hedging, Pricing, Option, Mathematical finance, Arbitrage, Martingale, Financial market model In this thesis we cover some fundamental topics in mathematical finance and construct market models for the ...
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On the pricing and hedging of volatility derivatives
... 6 Conclusion We have described a range of approaches to the pricing and hedging problem for a variety of products depending on realised volatility. Some of these, especially those based on realised ...
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Dynamic Hedging in Incomplete Markets: An Application to Option Pricing and Hedging
... and hedging capabilities of the four models. In terms of pricing, the performance of TC-BNG-D model is superior to the BS-D models not only in the average absolute er-ror (MAE) criterion but also the ...
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Option Pricing and Hedging with Regret Optimisation
... Introduction Pricing and hedging of derivative securities in financial market models are two of the main topics in modern mathematical finance ...and pricing method was pioneered by Black & Scholes ...
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Credit risk in the pricing and hedging of derivatives
... Introduction Credit risk is present under various forms in any derivative products. However, the fact is that credit risk is not, in general, priced in the various models commonly used for equity, FX, IR of commodity ...
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Computational Methods for Pricing and Hedging Derivatives
... Options: Pricing and Hedging via Moment Matching In this chapter, we describe a new methodology to price and hedge European basket options under the displaced log-normal process with jumps, which is capable ...
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Derivative Pricing and Hedging on Carbon Market
... for pricing and hedging of carbon options. We estimate the pricing accuracy of each model and the capacity to provide an efficient dynamic ...
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Risk Measure Pricing and Hedging in Incomplete Markets
... This approach is still quite subjective and specific to each institution’s financial position and risk control, therefore it should be applied only where appropriate. Looking at the problem more closely, I think traders ...
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On the pricing and hedging of options for highly volatile periods
... the hedging strategy. In addition, a closed formula of the pricing problem is proved for a particular ...underlying hedging strategies during financial crisis more ...
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Consistent pricing and hedging of an FX options book
... for pricing an exotic option can be summarized as ...the hedging portfolio is built, it is priced with the proper market implied volatilities, yielding its true market value, and then with a constant ...
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Three essays on pricing and hedging in incomplete markets
... 1.3 Pricing in an incomplete market In a complete market, the derivatives price equals the cost of the self-…nancing repli- cation portfolio in order to rule out arbitrage ...di¤erent hedging portfolios ...
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A practical guide to pricing and hedging with Levy processes
... — pricing occurs under the least favorable measure (for a particular option) that is absolutely continuous (see Section ...‘super- hedging measure’ is not equivalent to the real world measure and hence not ...
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The Pricing and Hedging of the Range Accrual Note
... the pricing that make the daily replication of the note slightly more advanced than a simple spread of digital ...the pricing of the range note depends entirely on finding an expression for the contingent ...
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Nonconvex optimization for pricing and hedging in imperfect markets.
... We will also show how to use them in order to improve (outperform) the real market quotes and reduce transaction costs. The concept of strong-pseudoarbitrage is the theoretical repres[r] ...
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Robust pricing and hedging of double no-touch options
... A second aspect of our discussion concerns a careful consideration of the technical framework in which our results are valid: we let the ‘market’ deter- mine a set of asset prices, and we assume that these prices satisfy ...
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PRICING AND HEDGING OF SWAPTIONS
... 2.2. Pricing Interest Rate Swaps Pricing 7 a swap means determining the fixed interest rate i f ix of the swap (swap rate) such that the value of the swap is zero at time t = 0 (see [1, ...
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Pricing and Hedging in Freight Futures
... alternate pricing approach/model when valuing freight futures ...and pricing models proposed by Black (1976) and Schwartz (1997), as well as the two-factor models developed by Schwartz and Smith (2000) and ...
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Pricing and Hedging Asian Options
... Option valuation has become more complex with the engineering of exotic options. It has also become more robust with the development of computing power. Plain vanilla European calls and puts have an analytical closed ...
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Pricing and Hedging Defaultable Claim
... the pricing and the hedging of claim ψ which depends of the default times of two firms A and ...and hedging of ψ using only bond of the firm ...variance hedging approach and solving backward ...
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PRICING AND HEDGING SPREAD OPTIONS
... The final comparison still uses options maturing in τ = T − t = 1.5 yr, but we increase the volatility of the electricity price to σ 2 = 80%. The results are shown in Figure 8. Experimental Results. One can see from the ...
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