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Conservative delta hedging under transaction costs
super replication model-free hedging robust hedging model uncertainty transaction costs Leland’s strategy stable convergence
2011/3/30
Explicit robust hedging strategies for convex or concave payoffs under a continuous semimartingale model with uncertainty and small transaction costs are constructed. In an asymptotic sense, the upper...
Hedging of Game Options With the Presence of Transaction Costs
proportional transaction Black-Scholes super-replication price
2011/3/30
We study the problem of super-replication for game options under proportional transaction costs. We consider a multidimensional model which is an extension of the usual Black-Scholes (BS) model, in th...
A Utility Based Approach to Energy Hedging
Energy Hedging Risk Management Risk Aversion Forecasting
2011/3/31
A key issue in the estimation of energy hedges is the hedgers' attitude towards risk which is encapsulated in the form of the hedgers' utility function. However, the literature typically uses only one...
Hedging: Scaling and the Investor Horizon
Hedging Effectiveness Scaling Volatility Modelling Forecasting
2011/3/31
This paper examines the volatility and covariance dynamics of cash and futures contracts that underlie the Optimal Hedge Ratio (OHR) across different hedging time horizons. We examine whether hedge ra...
Time Varying Risk Aversion: An Application to Energy Hedging
Energy Hedging Risk Management Risk Aversion Forecasting
2011/3/31
Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M...
Consistent Pricing and Hedging of an FX Options Book
foreign exchange options market uncertain Black-Scholes parameters
2009/5/7
In the foreign exchange (FX) options market away-from-the-money options are quite actively traded, and quotes for the same type of instruments are available everyday with very narrow spreads (at leas...
Optimal Robust Mean-Variance Hedging in Incomplete Financial Markets
Optimal Robust Mean-Variance Hedging Incomplete Financial Markets
2010/12/17
Optimal B-robust estimate is constructed for multidimensional parameter in drift coefficient of diffusion type process with small noise. Optimal mean-variance robust (optimal V -robust) trading strate...