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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...
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...
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...