8 Result(s)
within
Christian-Oliver Ewald
Operations Research/Decision Theory
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Article
Open AccessHedging longevity risk in defined contribution pension schemes
Pension schemes all over the world are under increasing pressure to efficiently hedge longevity risk imposed by ageing populations. In this work, we study an optimal investment problem for a defined contributi...
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Article
Open AccessOn the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman Filter
The Schwartz (J Finance 52(3):923–973, 1997) two factor model serves as a benchmark for pricing commodity contracts, futures and options. It is normally calibrated to fit the term-structure of a range of future c...
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Article
Privatization of businesses and flexible investment: a real option approach
In this article, we study the situation, where the opportunity is given to invest into a government-owned business by partial privatization to a private company. After payment of an initial installment cost, t...
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Article
A Numerical Method for Solving Stochastic Optimal Control Problems with Linear Control
We introduce a numerical method to solve stochastic optimal control problems which are linear in the control. We facilitate the idea of solving two-point boundary value problems with spline functions in order ...
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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
Dynamic voluntary provision of public goods with uncertainty: a stochastic differential game model
Fershtman and Nitzan (Eur. Econ. Rev. 35:1057–1067, 1991) presented a continuous dynamic public good game and solved the model for feedback Nash equilibria. Wirl (Eur. J. Polit. Econ. 12:555–560, 1996) extende...
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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...
