Temat: Hedging - Prolib Integro

Skocz do pozycji: 1.

Tytuł:: Pricing Polish three-year bonds in the HJM framework
Autorzy:: Sztuba, Piotr
Tematy:: term structure of interest rates
hedging; Pokaż więcej
Wydawca:: Polska Akademia Nauk. Instytut Matematyczny PAN
Powiązania:: https://bibliotekanauki.pl/articles/1208134.pdf Link otwiera się w nowym oknie
Opis:: We show how to use the Gaussian HJM model to price Polish three-year bonds. %A bond issued by A Polish Treasury bond is treated as a risk-free security.
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 2.

Tytuł:: Optimality of replication in the CRR model with transaction costs
Autorzy:: Rutkowski, Marek
Tematy:: transaction costs
martingale measure
super-hedging
option pricing; Pokaż więcej
Wydawca:: Polska Akademia Nauk. Instytut Matematyczny PAN
Powiązania:: https://bibliotekanauki.pl/articles/1339057.pdf Link otwiera się w nowym oknie
Opis:: Recently, there has been a growing interest in optimization problems associated with the arbitrage pricing of derivative securities in imperfect markets (in particular, in models with transaction costs). In this paper, we examine the valuation and hedging of European claims in the multiplicative binomial model proposed by Cox, Ross and Rubinstein [5] (the CRR model), in the presence of proportional transaction costs. We focus on the optimality of replication; in particular, we provide sufficient conditions for the optimality of the replicating strategy in the case of long and short positions in European options. This work can be seen as a continuation of studies by Bensaid et al. [2] and Edirisinghe et al. [13]. We put, however, more emphasis on the martingale approach to the claims valuation in the presence of transaction costs, focusing on call and put options. The problem of optimality of replication in the CRR model under proportional transaction costs was recently solved in all generality by Stettner[30].
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 3.

Tytuł:: Option pricing in the CRR model with proportional transaction costs: a cone transformation approach
Autorzy:: Stettner, Ł.
Tematy:: transaction costs
replicating cost
binomial model
hedging
option; Pokaż więcej
Wydawca:: Polska Akademia Nauk. Instytut Matematyczny PAN
Powiązania:: https://bibliotekanauki.pl/articles/1339174.pdf Link otwiera się w nowym oknie
Opis:: Option pricing in the Cox-Ross-Rubinstein model with transaction costs is studied. Using a cone transformation approach a complete characterization of perfectly hedged options is given.
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 4.

Tytuł:: On option pricing in the multidimensional Cox-Ross-Rubinstein model
Autorzy:: Motoczyński, Michał
Stettner, Łukasz
Tematy:: contingent claim
self-financing strategies
super-hedging
option pricing; Pokaż więcej
Wydawca:: Polska Akademia Nauk. Instytut Matematyczny PAN
Powiązania:: https://bibliotekanauki.pl/articles/1339064.pdf Link otwiera się w nowym oknie
Opis:: Option pricing in the multidimensional case, i.e. when the contingent claim paid at maturity depends on a number of risky assets, is considered. It is assumed that the prices of the risky assets are in discrete time subject to binomial disturbances. Two approaches to option pricing are studied: geometric and analytic. A numerical example is also given.
Dostawca treści:: Biblioteka Nauki

Artykuł

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