On the hedging of American options in discrete time markets with proportional transaction costs.
Bouchard, Bruno, Temam, Emmanuel (2005)
Electronic Journal of Probability [electronic only]
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Bouchard, Bruno, Temam, Emmanuel (2005)
Electronic Journal of Probability [electronic only]
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Alejandro Balbás (2007)
RACSAM
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An, Ta Thi Kieu, Øksendal, Bernt, Proske, Frank (2008)
Journal of Applied Mathematics and Stochastic Analysis
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Mustafa Ç. Pınar (2010)
ESAIM: Control, Optimisation and Calculus of Variations
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Motivated by the observation that the gain-loss criterion, while offering economically meaningful prices of contingent claims, is sensitive to the reference measure governing the underlying stock price process (a situation referred to as ambiguity of measure), we propose a gain-loss pricing model robust to shifts in the reference measure. Using a dual representation property of polyhedral risk measures we obtain a one-step, gain-loss criterion based theorem of asset pricing under...
Figueroa-López, José E., Ma, Jin (2010)
International Journal of Stochastic Analysis
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Alejandro Balbás, Raquel Balbás (2009)
RACSAM
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Samuel Njoh (2007)
ESAIM: Probability and Statistics
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In many markets, especially in energy markets, electricity markets for instance, the detention of the physical asset is quite difficult. This is also the case for crude oil as treated by Davis (2000). So one can identify a good proxy which is an asset (financial or physical) (one)whose the spot price is significantly correlated with the spot price of the underlying ( electicity or crude oil). Generally, the market could become incomplete. We explicit exact hedging strategies for exponential...
Gideon, F., Mukuddem-Petersen, J., Petersen, M.A. (2007)
Journal of Applied Mathematics
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Rokhlin, Dmitry B. (2007)
Electronic Communications in Probability [electronic only]
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Dmitrasinovic-Vidovic, Gordana, Lari-Lavassani, Ali, Li, Xun, Ware, Antony (2010)
Journal of Probability and Statistics
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Franke, Günter, Lüders, Erik (2010)
Advances in Decision Sciences
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Yang, Zhaojun, Ewald, Christian-Oliver, Wang, Wen-Kai (2011)
Journal of Probability and Statistics
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