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A note on super-hedging for investor-producers
arbitrage pricing theory markets with proportional transaction costs non-linear returns super replication theorem
2012/3/2
We study the situation of an agent who can trade on a financial market and can also transform some assets into others by means of a production system, in order to price and hedge derivatives on produc...
Pricing and Hedging Asian Basket Options with Quasi-Monte Carlo Simulations
Pricing Asian Basket Options Quasi-Monte Carlo Simulations
2010/11/1
In this article we consider the problem of pricing and hedging high-dimensional
Asian basket options by Quasi-Monte Carlo simulation. We assume a Black-Scholes market with time-dependent volatilities...
Robust pricing and hedging of double no-touch options
Robust pricing double no-touch options
2010/10/29
Double no-touch options, contracts which pay out a fixed amount provided an underlying asset remains within a given interval, are commonly traded, particularly in FX markets. In this work, we establis...
On Asymptotic Power Utility-Based Pricing and Hedging
Utility-based pricing and hedging incomplete markets mean-variance hedging numeraire semimartingale characteristics
2010/11/3
Kramkov and Sîrbu [24, 25] have shown that first-order approximations of power utility-based prices and hedging strategies can be computed by solving amean-variance hedging problem under a speci...