The search session has expired. Please query the service again.

Displaying similar documents to “Arbitrage for simple strategies”

Hedging of the European option in discrete time under transaction costs depending on time

Marek Andrzej Kociński (2010)

Applicationes Mathematicae

Similarity:

Hedging of the European option in a discrete time financial market with proportional transaction costs is considered. It is shown that for a certain class of options the set of portfolios which allow the seller to pay the claim of the buyer in quite a general discrete time market model is the same as the set of such portfolios under the assumption that the stock price movement is given by a suitable CRR model.

Auctions with Untrustworthy Bidders

Braynov, Sviatoslav, Pavlov, Radoslav (2007)

Serdica Journal of Computing

Similarity:

The paper analyzes auctions which are not completely enforceable. In such auctions, economic agents may fail to carry out their obligations, and parties involved cannot rely on external enforcement or control mechanisms for backing up a transaction. We propose two mechanisms that make bidders directly or indirectly reveal their trustworthiness. The first mechanism is based on discriminating bidding schedules that separate trustworthy from untrustworthy bidders. The second mechanism...

Optimal risk sharing as a cooperative game

Łukasz Kuciński (2011)

Applicationes Mathematicae

Similarity:

The problem of choosing an optimal insurance policy for an individual has recently been better understood, particularly due to the papers by Gajek and Zagrodny. In this paper we study its multi-agent version: we assume that insureds cooperate with one another to maximize their utility function. They create coalitions by bringing their risks to the pool and purchasing a common insurance contract. The resulting outcome is divided according to a certain rule called strategy. We address...

Using Monte Carlo Methods to Evaluate Sub-Optimal Exercise Policies for American Options

Alobaidi, Ghada, Mallier, Roland (2002)

Serdica Mathematical Journal

Similarity:

∗This research, which was funded by a grant from the Natural Sciences and Engineering Research Council of Canada, formed part of G.A.’s Ph.D. thesis [1]. In this paper we use a Monte Carlo scheme to find the returns that an uninformed investor might expect from an American option if he followed one of several näıve exercise strategies rather than the optimal exercise strategy. We consider several such strategies that an ill-advised investor might follow. We also consider...