Add to ORKGThe paper considers the hedging of contingent claims on assets with stochastic volatilities when the asset price is only observable at discrete time instants. Explicit formulae are given for risk-minimizing hedging strategies. (orig.)Available from TIB Hannover: RR 5549(13)+a / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische InformationsbibliothekSIGLEDEGerman
Abstract. Building on the work of Schweizer (1995) and Černy ́ and Kallsen (2007), we present discr...
This paper characterizes the upper hedging price for a contingent claim in an incomplete market in d...
This paper gives an overview of the results and developments in the area of hedging contingent claim...
The paper considers the hedging of contingent claims on assets with stoachstic 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 solve the problem of approximating in L"2 a given random variable H by stochastic integrals ...
Hedging strategies for contingent claims are studied in a general model for high frequency data. The...
Numerous empirical proofs indicate the adequacy of the time discrete auto-regressive stochastic vola...
We present a family of hedging strategies for a European derivative security in a stochastic volatil...
Abstract. We study the problems of efficient hedging of game (Israeli) options when the initial capi...
Abstract: We solve the problem of approximating in L2 a given random variable H by stochastic integr...
In this paper we analyze the effect of discrete stochastic dividends on the pricing and hedging of c...
[[abstract]]From the perspectives of the investors, we invest in some assets in discrete time and th...
Abstract. Building on the work of Schweizer (1995) and Černy ́ and Kallsen (2007), we present discr...
This paper characterizes the upper hedging price for a contingent claim in an incomplete market in d...
This paper gives an overview of the results and developments in the area of hedging contingent claim...
The paper considers the hedging of contingent claims on assets with stoachstic 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 solve the problem of approximating in L"2 a given random variable H by stochastic integrals ...
Hedging strategies for contingent claims are studied in a general model for high frequency data. The...
Numerous empirical proofs indicate the adequacy of the time discrete auto-regressive stochastic vola...
We present a family of hedging strategies for a European derivative security in a stochastic volatil...
Abstract. We study the problems of efficient hedging of game (Israeli) options when the initial capi...
Abstract: We solve the problem of approximating in L2 a given random variable H by stochastic integr...
In this paper we analyze the effect of discrete stochastic dividends on the pricing and hedging of c...
[[abstract]]From the perspectives of the investors, we invest in some assets in discrete time and th...
Abstract. Building on the work of Schweizer (1995) and Černy ́ and Kallsen (2007), we present discr...
This paper characterizes the upper hedging price for a contingent claim in an incomplete market in d...
This paper gives an overview of the results and developments in the area of hedging contingent claim...