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The Global ETD Search service is a free service for researchers
to find electronic theses and dissertations. This service is
provided by the
Networked Digital Library of Theses and Dissertations.
Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
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The limitations of no-arbitrage arguments for real optionsHubalek, Friedrich, Schachermayer, Walter January 1999 (has links) (PDF)
We consider an option c which is contingent on an underlying (tilde S) that is not a traded asset. This situation typically arises in the context of real options. We investigate the situation when there is a "surrogate" traded asset S whose price process is highly correlated with that of (tilde S). An illustration would be the cases where S and (tilde S) model two different brands of crude oil. The main result of the paper shows that in this case one cannot draw any non-trivial conclusions on the price of the option by only using no arbitrage arguments. In a second step we try to isolate hedging strategies on the traded asset S which minimize the variance of the hedging error. We show in particular, that the naive strategy of simply replacing (tilde S) by S fails to be optimal and we are able to quantify how far it is from being optimal. (author's abstract) / Series: Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science"
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Mehrere Preisprozesse und Ausübungsbedingungen bei der Bewertung von Optionen /Rathgeber, Andreas. Unknown Date (has links)
Universiẗat, Diss., 2005--Augsburg.
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The pricing and hedging of barrier options and their applications in finance and life insurance /Suchanecki, Michael, January 2008 (has links)
Bonn, University, Diss., 2008.
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Convergence of binomial large investor models and general correlated random walksGruber, Urs M. January 2004 (has links) (PDF)
Berlin, Techn. Univ., Diss., 2004. / Computerdatei im Fernzugriff.
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Realisierbarer Portfoliowert in illiquiden FinanzmärktenBaum, Dietmar. January 2001 (has links) (PDF)
Berlin, Humboldt-Universiẗat, Diss., 2001.
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Estimating probability distributions implicit in option prices /Ball, Michael A. January 2001 (has links) (PDF)
Diss. Nr. 2443 Wirtschaftswiss. St. Gallen, 2000. / Literaturverz.
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Realoptionsbasiertes Investitionsmanagement /Rocke, Roman. January 2003 (has links)
Thesis (doctoral)--Universität, Wuppertal, 2003.
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Investitionsprojekte mit mehreren Realoptionen : Bewertung und Analyse /Lucke, Claus. January 2001 (has links)
Universiẗat, Diss., 2001--Karlsruhe.
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Marktgerechte Bewertung von Optionen /Brunner, Bernhard. January 2004 (has links)
Universiẗat, Diss., 2003--Augsburg.
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Lévy processes in finance : the change of measure and non-linear dependence /Wannenwetsch, Jens. January 2005 (has links) (PDF)
Univ., Diss--Bonn, 2005.
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