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Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging
Pricing options illiquid assets liquid proxies utility indifference dynamic-static hedging
2012/6/4
This work addresses the problem of optimal pricing and hedging of a European option on an illiquid asset Z using two proxies: a liquid asset S and a liquid European option on another liquid asset Y. W...
Adaptive financial networks with static and dynamic thresholds
Adaptive financial networks static and dynamic thresholds
2010/10/18
Based on the daily data of American and Chinese stock markets, the dynamic behavior of a financial network with static and dynamic thresholds is investigated. Compared with the static threshold, the ...
Increase in Risk and Comparative Static Analysis
comparative statics MPST (Mean Preserving Simple Transformation) uncertainty
2009/5/7
In this paper we discuss signing of comparative statics analysis under uncertainty. We define change of risk by a mean preserving simple transformation (abbrev. MPST) of random variables. We show tha...
Semi-static hedging under exchangeability type conditions
Semi-static hedging exchangeability type conditions
2010/10/29
In this paper we analyse financial implications of exchangeability and similar properties
of finite dimensional random vectors. We show how these properties are reflected
in prices of some basket op...
In this paper we discuss signing of comparative statics analysis under uncertainty. We define change of risk by a mean preserving simple transformation (abbrev. MPST) of random variables. We show that...
