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Searching for "Report on "American Option Pricing and Hedging Strategies"" – sorted by Relevance.

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471,713 documents found, showing 1 through 10. Next 10 →

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Option
by Benoit Pochart — 2003
…arXiv:cond-mat/0308570v1 27 Aug 2003 Option pricing and hedging with minimum local expected…
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Pricing and Hedging American Options: A Recursive Integration Method
by Jing-zhi Huang, Marti G. Subrahmanyam, Leonard N. Stern, G. George Yu, Steven Feinstein, Steven Figlewski, Bin Gao, Bjarne Jensen, Herb Johnson, Nianqin Wang We — 1996 — Review of Financial Studies
…Pricing and Hedging American Options: A Recursive Integration Method Jing-zhi Huang Marti G…
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Option Pricing & Partial Hedging: Theory Of Polish Options
by Erik Aurell, Karol Zyczkowski, Instytut Fizyki Im. Smoluchowskiego — 1997 — Journal of Financial Abstracts: Series D (Working Paper Series) 3, January 26
…), and on the hedging strategy used by the writer. Determining this 4 price is called the option pricing problem…
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Pricing and Hedging Options on Defaultable Assets
by M. H. Vellekoop, J. G. B. Beumee, B. Hilberink — 2001
…Pricing and Hedging Options on Defaultable Assets M.H. Vellekoop 1 , J.G.B. Beumee 2 & B…
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Robust Hedging of the Lookback Option
by David G. Hobson — 1998
… investment in calls. The resulting price is fair, and the associated hedging strategy succesful, provided…
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Installment Options and Static Hedging
by Mark Davis Department, Mark H. A. Davis, Walter Schachermayer, Robert G. Tompkins, Technische Universität Wien — 2002 — Journal of Risk Finance
… the use of static hedges to obtain both no-arbitrage pricing bounds and very effective hedging strategies…
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Pricing and Hedging of Contingent Credit Lines
by Elena Loukoianova, Salih N. Neftci, Sunil Sharma, Prepared Elena Loukoianova, Salih N. Neftci, Sunil Sharma — 2006
…WP/06/13 Pricing and Hedging of Contingent Credit Lines Elena Loukoianova, Salih N. Neftci…
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Hedging Downside Risk: Futures versus Options
by Donald Lien And, Donald Lien, Yiu Kuen Tse
… of the futures. To form a hedged portfolio, we selected American call options with exercise prices close…
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Option Pricing And Hedging With Temporal Correlations
by Lorenzo Cornalba, Jean-Philippe Bouchaud, Marc Potters — 2000
… on the price of an option and on the corresponding hedging strategy? The aim of this paper is to provide a…
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Hedging with options in models with jumps
by Rama Cont, Peter Tankov, Ekaterina Voltchkova — 2005 — in "Proceedings of the II Abel Symposium 2005 on Stochastic analysis and applications
… of traded options. We give a general expression for the hedging strategy which minimizes the variance…
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