Volatility model risk measurement and against worst case volatilities
Risklab project in model risk (2000)
Journal de la société française de statistique
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Risklab project in model risk (2000)
Journal de la société française de statistique
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Marek Andrzej Kociński (2010)
Applicationes Mathematicae
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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.
Wang, J.K. (2001)
Discrete Dynamics in Nature and Society
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Igor Melicherčik, Daniel Ševčovič (2010)
The Yugoslav Journal of Operations Research
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Shin-Heng Pao, Jyh-Horng Lin (2008)
The Yugoslav Journal of Operations Research
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P. Sztuba, A. Weron (2001)
Applicationes Mathematicae
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We show how to use the Gaussian HJM model to price modified forward-start options. Using data from the Polish market we calibrate the model and price this exotic option on the term structure. The specific problems of Central Eastern European emerging markets do not permit the use of the popular lognormal models of forward LIBOR or swap rates. We show how to overcome this difficulty.
Jyh-Horng Lin, Chuen-Ping Chang (2004)
The Yugoslav Journal of Operations Research
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Petersen, M.A., Mukuddem-Petersen, J., Mulaudzi, M.P., De Waal, B., Schoeman, I.M. (2010)
Discrete Dynamics in Nature and Society
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Jandačka, Martin, Ševčovič, Daniel (2005)
Journal of Applied Mathematics
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Fouche, C.H., Mukuddem-Petersen, J., Petersen, M.A., Senosi, M.C. (2008)
Discrete Dynamics in Nature and Society
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Li-Hui Chen (2010)
The Yugoslav Journal of Operations Research
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Krzysztof Turek (2016)
Applicationes Mathematicae
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The goal of this paper is to make an attempt to generalise the model of pricing European options with an illiquid underlying asset considered by Rogers and Singh (2010). We assume that an investor's decisions have only a temporary effect on the price, which is proportional to the square of the change of the number of asset units in the investor's portfolio. We also assume that the underlying asset price follows a CEV model. To prove existence and uniqueness of the solution, we use techniques...
Josephy, N., Kimball, L., Steblovskaya, V. (2008)
Journal of Applied Mathematics and Stochastic Analysis
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Bhattacharya, Sukanto, Kumar, Kuldeep (2007)
Journal of Applied Mathematics and Decision Sciences
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T. Roy, K.S. Chaudhuri (2012)
The Yugoslav Journal of Operations Research
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