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搜索结果: 1-15 共查到经济学 Hedging相关记录57条 . 查询时间(0.109 秒)
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...
We construct algorithms for computation of prices and superhedging strategies for game options in general discrete time markets with transaction costs both from seller’s (upper arbitrage free price) a...
An elementary arbitrage principle and the existence of trends in financial time series, which is base on a theorem published in 1995 by P. Cartier and Y. Perrin,lead to a new understanding of option p...
Swing options on the gas market are american style option where daily quantities exercices are constrained and global quantities exerciced each year constrained too.The option holder has to decide eac...
We consider a nancial market with liquidity cost as in C etin, Jarrow and Protter[3] where the supply function S"(s;) depends on a parameter"0 withS0(s;) =s corresponding to the perfect liquid si...
We develop algorithms for the numerical computation of the quadratic hedging strategy in incomplete markets modeled by pure jump Markov process. Using the Hamilton-Jacobi-Bellman approach, the value f...
In this paper we present a theoretical framework for determining dynamic ask and bid prices of derivatives using the theory of dynamic coherent acceptability indices in discrete time. We prove a versi...
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...
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" ...
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...
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...
We discuss utility based pricing and hedging of jump di usion pro- cesses with emphasis on the practical applicability of the framework. We point out two diculties that seem to limit this applicabi...
Abstract: A variance swap is a derivative with a path-dependent payoff which allows investors to take positions on the future variability of an asset. In the idealised setting of a continuously monito...
Bollerslev’s (1990) constant conditional correlation (CCC) and Engle’s (2002) dynamic conditional correlation (DCC) bivariate generalized autoregressive conditional heteroskedasticity (BGARCH) models ...
This paper investigates the hedging effectiveness of a dynamic moving window OLS hedging model, formed using wavelet decomposed time-series. The wavelet transform is applied to calculate the appropria...

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