搜索结果: 1-14 共查到“应用经济学 Hedging”相关记录14条 . 查询时间(0.079 秒)
Arbitrage hedging in markets for the US lean hogs and the EU live pigs
futures market pig market risk management threshold cointegration analysis
2014/2/24
The paper describes an attempt to gain insight into the relationship between cash and futures markets for US lean hogs and EU live pigs, and the opportunity of arbitrage hedging. In doing so, the auth...
Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets
Variance-optimal hedging Follmer-Schweizer decomposition Levy process Cumulative generating function Characteristic function
2012/6/5
We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the underlying is the exponent of a sum of in...
Valuation and hedging of the ruin-contingent life annuity (RCLA)
Valuation hedging of the ruin-contingent life annuity RCLA Pricing of Securities
2012/6/5
This paper analyzes a novel type of mortality contingent-claim called a ruin-contingent life annuity (RCLA). This product fuses together a path-dependent equity put option with a "personal longevity" ...
Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging
Pricing options illiquid assets liquid proxies utility indifference dynamic-static hedging
2012/6/4
This work addresses the problem of optimal pricing and hedging of a European option on an illiquid asset Z using two proxies: a liquid asset S and a liquid European option on another liquid asset Y. W...
A note on super-hedging for investor-producers
arbitrage pricing theory markets with proportional transaction costs non-linear returns super replication theorem
2012/3/2
We study the situation of an agent who can trade on a financial market and can also transform some assets into others by means of a production system, in order to price and hedge derivatives on produc...
Arbitrage hedging strategy and one more explanation of the volatility smile
step-like contrast structure semi-linear parabolic equation arbitrage option hedging strategy volatility smile
2011/3/23
We present an explicit hedging strategy, which enables to prove arbitrageness of market incorporating at least two assets depending on the same random factor. The implied Black-Scholes volatility, com...
The Fundamental Theorem of Asset Pricing, the Hedging Problem and Maximal Claims in Financial Markets with Short Sales Prohibitions
The Fundamental Theorem Asset Pricing Hedging Problem
2011/1/4
This paper consists of two parts. In the first part, by building on the work of Jouini and Kallal in [26], Sch\"urger in [37], Frittelli in [15], Pham and Touzi in [34] and Napp in [33], we prove the ...
Hedging Errors Induced by Discrete Trading Under an Adaptive Trading Strategy
Hedging Errors Induced Discrete Trading Adaptive Trading Strategy
2010/10/20
Discrete time hedging in a complete diffusion market is considered. The hedge portfolio is rebalanced when the absolute difference between delta of the hedge portfolio and the derivative contract reac...
Models of self-financing hedging strategies in illiquid markets: symmetry reductions and exact solutions
nonlinear PDEs illiquid markets option pricing invariant reductions
2010/10/21
We study the general model of self-financing trading strategies in illiquid markets introduced by Schoenbucher and Wilmott, 2000. A hedging strategy in the framework of this model satisfies a nonlinea...
Approximations and asymptotics of upper hedging prices in multinomial models
Black-Scholes-Barenblatt equation contingent claim Cox-Ross-Rubinstein
2010/10/21
We give an exposition and numerical studies of upper hedging prices in multinomial models from the viewpoint of linear programming and the game-theoretic probability of Shafer and Vovk. We also show t...
Pricing and Hedging Asian Basket Options with Quasi-Monte Carlo Simulations
Pricing Asian Basket Options Quasi-Monte Carlo Simulations
2010/11/1
In this article we consider the problem of pricing and hedging high-dimensional
Asian basket options by Quasi-Monte Carlo simulation. We assume a Black-Scholes market with time-dependent volatilities...
Robust pricing and hedging of double no-touch options
Robust pricing double no-touch options
2010/10/29
Double no-touch options, contracts which pay out a fixed amount provided an underlying asset remains within a given interval, are commonly traded, particularly in FX markets. In this work, we establis...
Optimal partial hedging in a discrete-time market as a knapsack problem
Optimal partial discrete-time market knapsack problem
2010/11/2
Optimal partial hedging in a discrete-time market as a knapsack problem.
On Asymptotic Power Utility-Based Pricing and Hedging
Utility-based pricing and hedging incomplete markets mean-variance hedging numeraire semimartingale characteristics
2010/11/3
Kramkov and Sîrbu [24, 25] have shown that first-order approximations of power utility-based prices and hedging strategies can be computed by solving amean-variance hedging problem under a speci...