DETERMINING THE FAIR PRICE OF WEATHER HEDGING
... low temperatures, the amount and duration of rainfall, the wind speed and power, etc. The dependence on the financial performance of a number of economic sectors and activities on climatic conditions and the increasing volatility of global weather pose the question whether and to what extent weather ...
... low temperatures, the amount and duration of rainfall, the wind speed and power, etc. The dependence on the financial performance of a number of economic sectors and activities on climatic conditions and the increasing volatility of global weather pose the question whether and to what extent weather ...
Options Pricing Bounds and Statistical Uncertainty: Using Econometrics to Find an Exit Strategy in Derivatives Trading
... along continuous paths, cf. the work of Hobson (1998b). This is because of the same Dambis (1965)/Dubins-Schwartz (1965) time change which is used in this paper. Finally, this paper is mostly silent on what methods of statistical inference which should be used to set the prediction intervals that ar ...
... along continuous paths, cf. the work of Hobson (1998b). This is because of the same Dambis (1965)/Dubins-Schwartz (1965) time change which is used in this paper. Finally, this paper is mostly silent on what methods of statistical inference which should be used to set the prediction intervals that ar ...
Pricing and hedging in exponential Lévy models: review of recent
... in the one-dimensional unconstrained case and more recently in [30] in the multidimensional case with convex constraints on trading strategies. In this section, we start by reviewing the one-dimensional result, and then provide a multidimensional result (Theorem 2) which is valid in the unconstraine ...
... in the one-dimensional unconstrained case and more recently in [30] in the multidimensional case with convex constraints on trading strategies. In this section, we start by reviewing the one-dimensional result, and then provide a multidimensional result (Theorem 2) which is valid in the unconstraine ...
Derivatives Market in inDia: a success story
... future date (the expiration date). Similarly, put options contracts give the buyer the right to sell a specified quantity of an asset at a particular price on or before a certain future date. These definitions are based on the so-called American-style options. And for European style options, the con ...
... future date (the expiration date). Similarly, put options contracts give the buyer the right to sell a specified quantity of an asset at a particular price on or before a certain future date. These definitions are based on the so-called American-style options. And for European style options, the con ...
hedging volatility risk
... risk and volatility risk. While there are various instruments (and strategies) to deal with price risk, exhibited by the volatility of asset prices, there are practically no instruments to deal with the risk that volatility itself may change. Volatility risk has played a major role in several financ ...
... risk and volatility risk. While there are various instruments (and strategies) to deal with price risk, exhibited by the volatility of asset prices, there are practically no instruments to deal with the risk that volatility itself may change. Volatility risk has played a major role in several financ ...
Chap024
... • Future contracts are identical to forward contract with one exception • With a forward contract, gains and losses are recognized only on the settlement date • With futures contracts, gains and losses to the buyer or seller are recognized on a daily basis. This daily settlement feature is referred ...
... • Future contracts are identical to forward contract with one exception • With a forward contract, gains and losses are recognized only on the settlement date • With futures contracts, gains and losses to the buyer or seller are recognized on a daily basis. This daily settlement feature is referred ...
Performance and Predictive Power of Risk-Neutral
... it necessary to estimate the RNDs through a smoothing function. The RND depends on the model used on its estimation, which makes the choice of a reliable model very important. The use of the Black and Scholes model (B&S), the standard model in option pricing, is not recommended due to its limitation ...
... it necessary to estimate the RNDs through a smoothing function. The RND depends on the model used on its estimation, which makes the choice of a reliable model very important. The use of the Black and Scholes model (B&S), the standard model in option pricing, is not recommended due to its limitation ...
A Copula-based Approach to Option Pricing and Risk Assessment
... of dependence when nonlinear relationship is of main interest. Some nonparametric measures of dependence are needed. Two such measures of dependence are often used, namely Kendall’s tau and Spearman’s rho. See, for example, ...
... of dependence when nonlinear relationship is of main interest. Some nonparametric measures of dependence are needed. Two such measures of dependence are often used, namely Kendall’s tau and Spearman’s rho. See, for example, ...