Hedging for the Long Run
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Citations
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Cited by:
- Zhi Jun Guo & Eckhard Platen, 2012.
"The Small And Large Time Implied Volatilities In The Minimal Market Model,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1-23.
- Zhi Guo & Eckhard Platen, 2011. "The Small and Large Time Implied Volatilities in the Minimal Market Model," Papers 1109.6154, arXiv.org, revised Oct 2011.
- Zhi Guo & Eckhard Platen, 2011. "The Small and Large Time Implied Volatilities in the Minimal Market Model," Research Paper Series 297, Quantitative Finance Research Centre, University of Technology, Sydney.
- Jan Baldeaux & Eckhard Platen, 2013. "Liability Driven Investments under a Benchmark Based Approach," Research Paper Series 325, Quantitative Finance Research Centre, University of Technology, Sydney.
- Travis Fisher & Sergio Pulido & Johannes Ruf, 2015. "Financial Models with Defaultable Num\'eraires," Papers 1511.04314, arXiv.org, revised Oct 2017.
- Kevin Fergusson & Eckhard Platen, 2015. "Less Expensive Pricing and Hedging of Long-Dated Equity Index Options When Interest Rates are Stochastic," Research Paper Series 357, Quantitative Finance Research Centre, University of Technology, Sydney.
- Wang, Xingchun, 2021. "Pricing volatility-equity options under the modified constant elasticity of variance model," Finance Research Letters, Elsevier, vol. 38(C).
- Johannes Ruf, 2010. "Hedging under arbitrage," Papers 1003.4797, arXiv.org, revised May 2011.
- Eckhard Platen, 2008. "The Law of Minimal Price," Research Paper Series 215, Quantitative Finance Research Centre, University of Technology, Sydney.
- Xavier Warin, 2016. "The Asset Liability Management problem of a nuclear operator : a numerical stochastic optimization approach," Papers 1611.04877, arXiv.org.
- Baldeaux Jan & Ignatieva Katja & Platen Eckhard, 2014.
"A tractable model for indices approximating the growth optimal portfolio,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(1), pages 1-21, February.
- Jan Baldeaux & Katja Ignatieva & Eckhard Platen, 2012. "A Tractable Model for Indices Approximating the Growth Optimal Portfolio," Research Paper Series 318, Quantitative Finance Research Centre, University of Technology, Sydney.
- Eckhard Platen, 2009. "Real World Pricing of Long Term Contracts," Research Paper Series 262, Quantitative Finance Research Centre, University of Technology, Sydney.
- Ralph Rudd & Thomas A. McWalter & Joerg Kienitz & Eckhard Platen, 2018. "Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts," Papers 1801.07044, arXiv.org, revised Jan 2018.
- Daniel Fernholz & Ioannis Karatzas, 2010. "On optimal arbitrage," Papers 1010.4987, arXiv.org.
- Travis Fisher & Sergio Pulido & Johannes Ruf, 2019. "Financial Models with Defaultable Numéraires," Post-Print hal-01240736, HAL.
- repec:uts:finphd:40 is not listed on IDEAS
- Hardy Hulley, 2009. "Strict Local Martingales in Continuous Financial Market Models," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 19, July-Dece.
- Travis Fisher & Sergio Pulido & Johannes Ruf, 2017. "Financial Models with Defaultable Numéraires," Working Papers hal-01240736, HAL.
- Hardy Hulley, 2009. "Strict Local Martingales in Continuous Financial Market Models," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2009, January-A.
- Travis Fisher & Sergio Pulido & Johannes Ruf, 2019. "Financial models with defaultable numéraires," Mathematical Finance, Wiley Blackwell, vol. 29(1), pages 117-136, January.
- Kevin John Fergusson, 2018. "Less-Expensive Pricing and Hedging of Extreme-Maturity Interest Rate Derivatives and Equity Index Options Under the Real-World Measure," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2018, January-A.
- K. Fergusson, 2017. "Explicit Formulae For Parameters Of Stochastic Models Of A Discounted Equity Index Using Maximum Likelihood Estimation With Applications," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 12(02), pages 1-31, June.
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More about this item
Keywords
long-dated claims; risk-neutral pricing; real-world pricing; arbitrage; minimal market model; squared Bessel processes; hedge simulations; asset price bubbles;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2008-03-08 (Financial Markets)
- NEP-RMG-2008-03-08 (Risk Management)
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