Superhedging price

Known as: Subhedging price, Super-hedging price

The superhedging price is a coherent risk measure. The superhedging price of a portfolio (A) is equivalent to the smallest amount necessary to be…

Papers overview

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2015

This article employs a variety of econometric models (including OLS, VEC/VAR, DCC GARCH and a class of copula-based GARCH models…

2013

Abstract Some of the most important challenges facing water managers are to increase water supply and reduce its demand. A single…

2011

The incentive on an electricity generating firm to exercise market power depends strongly on the volume the firm has pre-sold in…

2011

Our research falls into a broad area of pricing and hedging of contingent claims in incomplete markets. In the first part we…

2007

The failure prone production system with bursty demand arrivals is examined, where the demand arrival is Possion process and the…

2005

A method of preparing generally amorphous copolymers of ethylene and at least one norbornene (NB)-type comonomer. These polymers…

2003

It is often presumed that higher market volatility begets more active trading in derivatives markets. A number of empirical…

2001

The paper discusses a methodology for design and pricing of index insurance contracts for crop production. The methodology…

1997

This paper addresses the question of how an institution might optimally manage the market risk of a given exposure. We provide an…

1995