Pricing and Hedging
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 ...
37
Pricing and Hedging Asian Options
... The pricing behavior will be higher than geometric averaging but lower than its European ...Delta hedging of an arithmetic Asian is outside the scope of this ...
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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 ...
34
Pricing and Hedging Spread Options
... the pricing and hedging of spread ...the pricing of spread options in the equity and fixed income markets, and our contribution is mostly to put together material scattered across a wide spectrum of ...
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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 ...
32
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 ...
10
Pricing and Hedging Mandatory Convertible Bonds
... the pricing and hedging of mandatory convertible bonds on the secondary ...The pricing of 40 mandatory convertibles is analyzed between May 2002 and April 2004 with a total of 498 trading days ...
41
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 ...
245
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 ...
14
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 ...
210
Pricing and hedging in carbon emissions markets
... the pricing formulas for the carbon allowances by assuming an exogenous price process for the forward ...the pricing using a local risk minimising criteria under two settings where the market’s net position ...
20
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 ...
5
Numeraire Invariance and application to Option Pricing and Hedging
... 1. Introduction Numeraire invariance is a well-known technique in option pricing and hedging theory. It takes a convenient asset as the numeraire, as if it were the medium of exchange, and expresses all ...
12
Pricing and hedging of contingent claims in incomplete markets
... opportunity”. Pricing results which are somewhat different from, but reminiscent of, the arbitrage pricing theorems of mathematical finance are ...the hedging policies may be different for different ...
111
Stochastic volatility models: calibration, pricing and hedging
... considers pricing methods for the three ...option pricing under these ...examines hedging methods that can be applied to vanilla call options whose underlying assets follow the dynamics of the ...
161
Asymptotic power utility-based pricing and hedging
... utility-based hedging corresponds to mean-variance hedging, but for a Lévy process with different drift and jump ...utility-based pricing and hedging approaches its counterpart for exponential ...
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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 ...
18
Pricing And Hedging of Asian Option Under Jumps
... And Hedging of Asian Option Under Jumps Wissem Boughamoura, Anand ...the pricing and hedging problems of ”generalized” Asian options in a jump-diffusion ...variance hedging including the ...
10
Pricing and hedging of FX plain vanilla options
... the pricing of financial instruments such as options on stocks as well as foreign ...uncover pricing misspecifications and, in an empirical study, investigates if one is preferable to the other given a ...
118
Numeraire Invariance and application to Option Pricing and Hedging
... 1. Introduction Numeraire invariance is a well-known technique in option pricing and hedging theory. It takes a convenient asset as the numeraire, as if it were the medium of exchange, and expresses all ...
12