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    Article

    Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus

    We use Malliavin calculus and the Clark–Ocone formula to derive the hedging strategy of an arithmetic Asian Call option in general terms. Furthermore we derive an expression for the density of the integral ove...

    Zhaojun Yang, Christian-Oliver Ewald… in Mathematical Methods of Operations Research (2011)

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    Article

    Optimal investment for a pension fund under inflation risk

    This paper investigates an optimal investment problem faced by a defined contribution (DC) pension fund manager under inflationary risk. It is assumed that a representative member of a DC pension plan contribu...

    Aihua Zhang, Christian-Oliver Ewald in Mathematical Methods of Operations Research (2010)

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    Article

    Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk

    We study the classical real option problem in which an agent faces the decision if and when to invest optimally into a project. The investment is assumed to be irreversible. This problem has been studied by My...

    Christian-Oliver Ewald, Zhaojun Yang in Mathematical Methods of Operations Research (2008)

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    Article

    Optimal management and inflation protection for defined contribution pension plans

    Due to the increasing risk of inflation and diminishing pension benefits, insurance companies have started selling inflation-linked products. Selling such products the insurance company takes over some or ...

    Aihua Zhang, Ralf Korn, Christian-Oliver Ewald in Blätter der DGVFM (2007)