The paper considers the hedging of contingent claims on assets with stoachstic volatilities when the asset price is only observable at discrete time instants. Explicit fomulae are given for risk-minimizing hedging strategies
We consider a very general diffusion model for asset prices which allows the description of stochast...
This paper characterizes the upper hedging price for a contingent claim in an incomplete market in d...
Cette prépublication apparaît aussi sur SSRN et les cahiers du GERAD.International audienceBuilding ...
The paper considers the hedging of contingent claims on assets with stochastic volatilities when the...
In this paper we consider the problem of hedging contingent claims on a stock under transaction cost...
This paper extends the local risk-minimization criterion for hedging contingent claims, as introduce...
We present a closed form solution for the optimal hedging strategy, in discrete time, of an option w...
We present a family of hedging strategies for a European derivative security in a stochastic volatil...
Numerous empirical proofs indicate the adequacy of the time discrete auto-regressive stochastic vola...
Hedging strategies for contingent claims are studied in a general model for high frequency data. The...
Magister Scientiae - MScThe present mini-thesis seeks to explore and investigate the mathematical th...
Different derivative securities, including European options, are very popular and widely used in fo...
International audienceIn this paper, we study theoretical and computational aspects of risk minimiza...
The problem of pricing and hedging of contingent claims in incomplete markets has lead to the develo...
The problem studied is that of hedging a portfolio of options in discrete time where underlying secu...
We consider a very general diffusion model for asset prices which allows the description of stochast...
This paper characterizes the upper hedging price for a contingent claim in an incomplete market in d...
Cette prépublication apparaît aussi sur SSRN et les cahiers du GERAD.International audienceBuilding ...
The paper considers the hedging of contingent claims on assets with stochastic volatilities when the...
In this paper we consider the problem of hedging contingent claims on a stock under transaction cost...
This paper extends the local risk-minimization criterion for hedging contingent claims, as introduce...
We present a closed form solution for the optimal hedging strategy, in discrete time, of an option w...
We present a family of hedging strategies for a European derivative security in a stochastic volatil...
Numerous empirical proofs indicate the adequacy of the time discrete auto-regressive stochastic vola...
Hedging strategies for contingent claims are studied in a general model for high frequency data. The...
Magister Scientiae - MScThe present mini-thesis seeks to explore and investigate the mathematical th...
Different derivative securities, including European options, are very popular and widely used in fo...
International audienceIn this paper, we study theoretical and computational aspects of risk minimiza...
The problem of pricing and hedging of contingent claims in incomplete markets has lead to the develo...
The problem studied is that of hedging a portfolio of options in discrete time where underlying secu...
We consider a very general diffusion model for asset prices which allows the description of stochast...
This paper characterizes the upper hedging price for a contingent claim in an incomplete market in d...
Cette prépublication apparaît aussi sur SSRN et les cahiers du GERAD.International audienceBuilding ...
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