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Essays on Derivatives Pricing in Incomplete Markets

Gerer, Johannes (2016) Essays on Derivatives Pricing in Incomplete Markets. PhD, Universität Regensburg.

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Date of publication of this fulltext: 12 Dec 2016 14:28

Abstract (English)

This dissertation comprises four essays on the topic of derivatives pricing in incomplete markets, accompanied by an application of the proposed methods to so-called sandbox options. The first three essays take a theoretical perspective on the pricing of derivatives with embedded decisions and the associated aspect of dynamic hedging. Aiming to establish new methods for handling decisions ...

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Translation of the abstract (German)

Die vorliegende Dissertation besteht aus vier Aufsätzen über die Bewertung von Derivaten in unvollkommenen Märkten, sowie einer Anwendung der vorgestellten Methoden auf die sogenannte Sandbox-Option. Die ersten drei Aufsätze stellen theoretische Betrachtungen über die Bewertung von Derivaten mit eingebetteten Entscheidungen und dem damit verbundenen Aspekt des dynamischen Absicherns an. Mit dem ...

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Item type:Thesis of the University of Regensburg (PhD)
Date:12 December 2016
Referee:Prof. Dr. Gregor Dorfleitner
Date of exam:23 November 2016
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner)
Classification:
NotationType
G13Journal of Economics Literature Classification
C61Journal of Economics Literature Classification
91G20MSC
91B08MSC
90C39MSC
90C47MSC
91B24MSC
91B28MSC
Keywords:derivatives pricing, embedded decisions, acceptance sets, time consistency, transaction costs, early exercise, discrete hedging, American option, good-deal bounds, utility indifference pricing, utility-based pricing, marginal pricing, shadow pricing, hedging, continuous time finance, exchange-traded commodities, commodities, pricing, financial innovation, pricing efficiency
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Item ID:34946
Owner only: item control page

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