Add to ORKGIn the work of Föllmer and Schweizer [1] a method for hed-ging an European contingent claim in incomplete markets is presented. The aim of our work is to estimate a hedge stra-tegy for a call option in a market whose risky asset is drive
MASTER THESIS ABSTRACT TITLE: Trading Strategy in Incomplete Market AUTHOR: Tomáš Bunčák DEPARTMENT:...
A dissertação aborda o problema de precificação e hedge de derivativos do tipo europeu em mercados i...
The problem of pricing and hedging of contingent claims in incomplete markets has lead to the develo...
We are motivated by the latest statistical facts that weather directly affects about 20% of the U.S....
This thesis explores pricing models for interest rate markets. The model used to ':describe the shor...
We present a new approach for positioning, pricing, and hedging in incomplete markets that bridges s...
This paper presents a new approach to the pricing and hedging problem for contingent claims in incom...
THE PURPOSE AND THE RATIONALE (AMAÇ VE GEREKÇE) The common standard pricing methods of financial ass...
We present necessary and sufficient conditions on the asset span of incomplete derivative markets for...
This paper considers the problem of hedgeability and replicability of European‐type contingent ...
In this thesis, we describe a BSDE approach to hedging with basic risk, useful when dealing with ris...
Abstract. We consider hedging of a path-dependent European style option with convex continuous payof...
In practice the hedging process does not satisfy the assumptions of the Black-Scholes model. Traders...
An incomplete market driven by a pair of Wiener and Poisson processes is considered. The range of Eu...
This paper studies the portfolio selection problem where tradable assets are a bank account, and sta...
MASTER THESIS ABSTRACT TITLE: Trading Strategy in Incomplete Market AUTHOR: Tomáš Bunčák DEPARTMENT:...
A dissertação aborda o problema de precificação e hedge de derivativos do tipo europeu em mercados i...
The problem of pricing and hedging of contingent claims in incomplete markets has lead to the develo...
We are motivated by the latest statistical facts that weather directly affects about 20% of the U.S....
This thesis explores pricing models for interest rate markets. The model used to ':describe the shor...
We present a new approach for positioning, pricing, and hedging in incomplete markets that bridges s...
This paper presents a new approach to the pricing and hedging problem for contingent claims in incom...
THE PURPOSE AND THE RATIONALE (AMAÇ VE GEREKÇE) The common standard pricing methods of financial ass...
We present necessary and sufficient conditions on the asset span of incomplete derivative markets for...
This paper considers the problem of hedgeability and replicability of European‐type contingent ...
In this thesis, we describe a BSDE approach to hedging with basic risk, useful when dealing with ris...
Abstract. We consider hedging of a path-dependent European style option with convex continuous payof...
In practice the hedging process does not satisfy the assumptions of the Black-Scholes model. Traders...
An incomplete market driven by a pair of Wiener and Poisson processes is considered. The range of Eu...
This paper studies the portfolio selection problem where tradable assets are a bank account, and sta...
MASTER THESIS ABSTRACT TITLE: Trading Strategy in Incomplete Market AUTHOR: Tomáš Bunčák DEPARTMENT:...
A dissertação aborda o problema de precificação e hedge de derivativos do tipo europeu em mercados i...
The problem of pricing and hedging of contingent claims in incomplete markets has lead to the develo...