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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...
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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...
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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...