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Christian-Oliver Ewald

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang, 2020. "Sharing of longevity basis risk in pension schemes with income-drawdown guarantees," Papers 2002.05232, arXiv.org.

    Cited by:

    1. Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang, 2019. "Hedging longevity risk in defined contribution pension schemes," Papers 1904.10229, arXiv.org, revised May 2020.

  2. Ewald, Christian-Oliver & Xiao, Yajun, 2007. "Information : Price And Impact On General Welfare And Optimal Investment. An Anticipative Stochastic Differential Game Model," MPRA Paper 3301, University Library of Munich, Germany.

    Cited by:

    1. O. Menoukeu Pamen & F. Proske & H. Binti Salleh, 2014. "Stochastic Differential Games in Insider Markets via Malliavin Calculus," Journal of Optimization Theory and Applications, Springer, vol. 160(1), pages 302-343, January.

  3. Zhang, Aihua & Korn, Ralf & Ewald, Christian-Oliver, 2007. "Optimal management and inflation protection for defined contribution pension plans," MPRA Paper 3300, University Library of Munich, Germany.

    Cited by:

    1. Curatola, Giuliano, 2022. "Price impact, strategic interaction and portfolio choice," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    2. Jian Pan & Qingxian Xiao, 2017. "Optimal mean–variance asset-liability management with stochastic interest rates and inflation risks," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 85(3), pages 491-519, June.
    3. Dong, Yinghui & Zheng, Harry, 2019. "Optimal investment of DC pension plan under short-selling constraints and portfolio insurance," Insurance: Mathematics and Economics, Elsevier, vol. 85(C), pages 47-59.
    4. Aihua Zhang & Christian-Oliver Ewald, 2010. "Optimal investment for a pension fund under inflation risk," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 71(2), pages 353-369, April.
    5. Xiaoyi Zhang, 2022. "Optimal DC Pension Management Under Inflation Risk With Jump Diffusion Price Index and Cost of Living Process," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 1253-1270, June.
    6. Wu, Huiling & Zhang, Ling & Chen, Hua, 2015. "Nash equilibrium strategies for a defined contribution pension management," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 202-214.
    7. Huiling Wu, 2016. "Optimal Investment-Consumption Strategy under Inflation in a Markovian Regime-Switching Market," Discrete Dynamics in Nature and Society, Hindawi, vol. 2016, pages 1-17, July.
    8. Guan, Guohui & Liang, Zongxia & Xia, Yi, 2023. "Optimal management of DC pension fund under the relative performance ratio and VaR constraint," European Journal of Operational Research, Elsevier, vol. 305(2), pages 868-886.
    9. Xiaoyi Zhang & Junyi Guo, 2018. "The Role of Inflation-Indexed Bond in Optimal Management of Defined Contribution Pension Plan During the Decumulation Phase," Risks, MDPI, vol. 6(2), pages 1-16, March.
    10. Guan, Guohui & Liang, Zongxia, 2016. "Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 224-237.
    11. Dong, Yinghui & Zheng, Harry, 2020. "Optimal investment with S-shaped utility and trading and Value at Risk constraints: An application to defined contribution pension plan," European Journal of Operational Research, Elsevier, vol. 281(2), pages 341-356.
    12. Mirco Mahlstedt & Rudi Zagst, 2016. "Inflation Protected Investment Strategies," Risks, MDPI, vol. 4(2), pages 1-21, March.
    13. Wu, Huiling & Zeng, Yan, 2015. "Equilibrium investment strategy for defined-contribution pension schemes with generalized mean–variance criterion and mortality risk," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 396-408.
    14. Guan, Guohui & Liang, Zongxia, 2015. "Mean–variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 99-109.
    15. Wujun Lv & Linlin Tian & Xiaoyi Zhang, 2023. "Optimal Defined Contribution Pension Management with Jump Diffusions and Common Shock Dependence," Mathematics, MDPI, vol. 11(13), pages 1-20, July.
    16. Baltas, I. & Dopierala, L. & Kolodziejczyk, K. & Szczepański, M. & Weber, G.-W. & Yannacopoulos, A.N., 2022. "Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty," European Journal of Operational Research, Elsevier, vol. 298(3), pages 1162-1174.
    17. Fulli-Lemaire, Nicolas, 2013. "Alternative inflation hedging strategies for ALM," MPRA Paper 43755, University Library of Munich, Germany.
    18. Fulli-Lemaire, Nicolas, 2012. "Alternative Inflation Hedging Portfolio Strategies: Going Forward Under Immoderate Macroeconomics," MPRA Paper 42854, University Library of Munich, Germany.
    19. Li, Danping & Rong, Ximin & Zhao, Hui, 2015. "Time-consistent reinsurance–investment strategy for a mean–variance insurer under stochastic interest rate model and inflation risk," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 28-44.
    20. Guan, Guohui & Liang, Zongxia, 2014. "Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 105-115.
    21. Hui Mi & Zuo Quan Xu & Dongfang Yang, 2023. "Optimal Management of DC Pension Plan with Inflation Risk and Tail VaR Constraint," Papers 2309.01936, arXiv.org.
    22. Guan, Guohui & Liang, Zongxia, 2016. "A stochastic Nash equilibrium portfolio game between two DC pension funds," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 237-244.

  4. Alos, Elisa & Ewald, Christian-Oliver, 2007. "Malliavin differentiability of the Heston volatility and applications to option pricing," MPRA Paper 3237, University Library of Munich, Germany.

    Cited by:

    1. Christian-Oliver Ewald & Zhaojun Yang, 2008. "Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 68(1), pages 97-123, August.
    2. Elisa Alòs & Jorge A. León, 2016. "On the short-maturity behaviour of the implied volatility skew for random strike options and applications to option pricing approximation," Quantitative Finance, Taylor & Francis Journals, vol. 16(1), pages 31-42, January.
    3. Ben Hambly & Nikolaos Kolliopoulos, 2018. "Fast mean-reversion asymptotics for large portfolios of stochastic volatility models," Papers 1811.08808, arXiv.org, revised Feb 2020.
    4. Taiga Saito & Akihiko Takahashi, 2021. "Portfolio Optimization with Choice of a Probability Measure," CIRJE F-Series CIRJE-F-1165, CIRJE, Faculty of Economics, University of Tokyo.
    5. Annalena Mickel & Andreas Neuenkirch, 2021. "The Weak Convergence Rate of Two Semi-Exact Discretization Schemes for the Heston Model," Risks, MDPI, vol. 9(1), pages 1-38, January.
    6. Elisa Alòs & Yan Yang, 2014. "A closed-form option pricing approximation formula for a fractional Heston model," Economics Working Papers 1446, Department of Economics and Business, Universitat Pompeu Fabra.
    7. Elisa Alòs, 2012. "A decomposition formula for option prices in the Heston model and applications to option pricing approximation," Finance and Stochastics, Springer, vol. 16(3), pages 403-422, July.
    8. Ewald, Christian-Oliver & Wang, Wen-Kai, 2010. "Irreversible investment with Cox-Ingersoll-Ross type mean reversion," Mathematical Social Sciences, Elsevier, vol. 59(3), pages 314-318, May.
    9. Elisa Al`os & Michael Coulon, 2018. "On the optimal choice of strike conventions in exchange option pricing," Papers 1807.05396, arXiv.org.
    10. Hyungbin Park, 2021. "Influence of risk tolerance on long-term investments: A Malliavin calculus approach," Papers 2104.00911, arXiv.org.
    11. Almeida, Caio & Vicente, José, 2009. "Identifying volatility risk premia from fixed income Asian options," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 652-661, April.
    12. Elisa Alòs & Thorsten Rheinländer, 2015. "Pricing and hedging Margrabe options with stochastic volatilities," Economics Working Papers 1475, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2017.
    13. Bilgi Yilmaz, 2018. "Computation of option greeks under hybrid stochastic volatility models via Malliavin calculus," Papers 1806.06061, arXiv.org.
    14. Romain Bompis & Emmanuel Gobet, 2012. "Asymptotic and non asymptotic approximations for option valuation," Post-Print hal-00720650, HAL.
    15. Tahmasebi, M., 2014. "Smooth density for the solution of scalar SDEs with locally Lipschitz coefficients under Hörmander condition," Statistics & Probability Letters, Elsevier, vol. 85(C), pages 51-62.
    16. Maxim Bichuch & Stephan Sturm, 2014. "Portfolio optimization under convex incentive schemes," Finance and Stochastics, Springer, vol. 18(4), pages 873-915, October.

  5. Elisa Alòs & Christian-Olivier Ewald, 2005. "A note on the Malliavin differentiability of the Heston volatility," Economics Working Papers 880, Department of Economics and Business, Universitat Pompeu Fabra.

    Cited by:

    1. Ben Hambly & Nikolaos Kolliopoulos, 2018. "Fast mean-reversion asymptotics for large portfolios of stochastic volatility models," Papers 1811.08808, arXiv.org, revised Feb 2020.
    2. S. Kuchuk-Iatsenko & Y. Mishura & Y. Munchak, 2016. "Application of Malliavin calculus to exact and approximate option pricing under stochastic volatility," Papers 1608.00230, arXiv.org.

Articles

  1. Ewald, Christian Oliver & Taub, Bart, 2022. "Real options, risk aversion and markets: A corporate finance perspective," Journal of Corporate Finance, Elsevier, vol. 72(C).

    Cited by:

    1. Casper Boongaling Agaton, 2022. "Will a Geopolitical Conflict Accelerate Energy Transition in Oil-Importing Countries? A Case Study of the Philippines from a Real Options Perspective," Resources, MDPI, vol. 11(6), pages 1-17, June.

  2. Ewald, Christian-Oliver & Haugom, Erik & Lien, Gudbrand & Størdal, Ståle & Wu, Yuexiang, 2022. "Trading time seasonality in commodity futures: An opportunity for arbitrage in the natural gas and crude oil markets?," Energy Economics, Elsevier, vol. 115(C).

    Cited by:

    1. Sun, Chuanwang & Min, Jialin & Sun, Jiacheng & Gong, Xu, 2023. "The role of China's crude oil futures in world oil futures market and China's financial market," Energy Economics, Elsevier, vol. 120(C).
    2. Størdal, Ståle & Ewald, Christian-Oliver & Lien, Gudbrand & Haugom, Erik, 2023. "Trading time seasonality in electricity futures," Journal of Commodity Markets, Elsevier, vol. 31(C).

  3. Ewald, Christian & Zou, Yihan, 2021. "Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump?," European Journal of Operational Research, Elsevier, vol. 294(2), pages 801-815.

    Cited by:

    1. Jilong Chen & Christian Ewald & Ruolan Ouyang & Sjur Westgaard & Xiaoxia Xiao, 2022. "Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil," Annals of Operations Research, Springer, vol. 313(1), pages 29-46, June.
    2. Juan D. Borrero & Jesús Mariscal & Alfonso Vargas-Sánchez, 2022. "A New Predictive Algorithm for Time Series Forecasting Based on Machine Learning Techniques: Evidence for Decision Making in Agriculture and Tourism Sectors," Stats, MDPI, vol. 5(4), pages 1-14, November.
    3. Juan D. Borrero & Jesus Mariscal, 2022. "Predicting Time SeriesUsing an Automatic New Algorithm of the Kalman Filter," Mathematics, MDPI, vol. 10(16), pages 1-13, August.
    4. Feng, Ling & Wang, Jieyu, 2023. "Random sources correlations and carbon futures pricing," International Review of Financial Analysis, Elsevier, vol. 86(C).
    5. Størdal, Ståle & Ewald, Christian-Oliver & Lien, Gudbrand & Haugom, Erik, 2023. "Trading time seasonality in electricity futures," Journal of Commodity Markets, Elsevier, vol. 31(C).
    6. Ewald, Christian-Oliver & Haugom, Erik & Lien, Gudbrand & Størdal, Ståle & Wu, Yuexiang, 2022. "Trading time seasonality in commodity futures: An opportunity for arbitrage in the natural gas and crude oil markets?," Energy Economics, Elsevier, vol. 115(C).

  4. Christian-Oliver Ewald & Aihua Zhang & Zhe Zong, 2019. "On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman Filter," Annals of Operations Research, Springer, vol. 282(1), pages 119-130, November.

    Cited by:

    1. Zonggang Ma & Chaoqun Ma & Zhijian Wu, 2022. "Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods," Review of Derivatives Research, Springer, vol. 25(1), pages 47-91, April.
    2. Peilun He & Karol Binkowski & Nino Kordzakhia & Pavel Shevchenko, 2021. "On Modelling of Crude Oil Futures in a Bivariate State-Space Framework," Papers 2108.01886, arXiv.org.
    3. Peilun He & Karol Binkowski & Nino Kordzakhia & Pavel Shevchenko, 2021. "On Modelling of Crude Oil Futures in a Bivariate State-Space Framework," Springer Books, in: Marco Corazza & Manfred Gilli & Cira Perna & Claudio Pizzi & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 273-278, Springer.
    4. Tim Leung & Raphael Yan, 2018. "A Stochastic Control Approach to Managed Futures Portfolios," Papers 1811.01916, arXiv.org.
    5. Karol Binkowski & Peilun He & Nino Kordzakhia & Pavel Shevchenko, 2021. "On the Parameter Estimation in the Schwartz-Smiths Two-Factor Model," Papers 2108.01881, arXiv.org.
    6. Giuseppe Orlando & Michele Bufalo, 2022. "A generalized two‐factor square‐root framework for modeling occurrences of natural catastrophes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(8), pages 1608-1622, December.
    7. Mehrdoust, Farshid & Noorani, Idin & Kanniainen, Juho, 2024. "Valuation of option price in commodity markets described by a Markov-switching model: A case study of WTI crude oil market," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 215(C), pages 228-269.
    8. Wim Ackooij & Debora Daniela Escobar & Martin Glanzer & Georg Ch. Pflug, 2020. "Distributionally robust optimization with multiple time scales: valuation of a thermal power plant," Computational Management Science, Springer, vol. 17(3), pages 357-385, October.
    9. Ewald, Christian & Zou, Yihan, 2021. "Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump?," European Journal of Operational Research, Elsevier, vol. 294(2), pages 801-815.

  5. Christian†Oliver Ewald & Marc Yor, 2018. "On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales," Mathematical Finance, Wiley Blackwell, vol. 28(2), pages 536-549, April.

    Cited by:

    1. Erhan Bayraktar & Shuoqing Deng & Dominykas Norgilas, 2023. "Supermartingale Brenier’s Theorem with Full-Marginal Constraint," World Scientific Book Chapters, in: Robert A Jarrow & Dilip B Madan (ed.), Peter Carr Gedenkschrift Research Advances in Mathematical Finance, chapter 17, pages 569-636, World Scientific Publishing Co. Pte. Ltd..
    2. Michael R. Tehranchi, 2020. "A Black–Scholes inequality: applications and generalisations," Finance and Stochastics, Springer, vol. 24(1), pages 1-38, January.
    3. Liu, Yating & Pagès, Gilles, 2022. "Monotone convex order for the McKean–Vlasov processes," Stochastic Processes and their Applications, Elsevier, vol. 152(C), pages 312-338.

  6. Christian-Oliver Ewald & Ruolan Ouyang & Tak Kuen Siu, 2017. "On the Market-consistent Valuation of Fish Farms: Using the Real Option Approach and Salmon Futures," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 99(1), pages 207-224.

    Cited by:

    1. Ewald, Christian Oliver & Taub, Bart, 2022. "Real options, risk aversion and markets: A corporate finance perspective," Journal of Corporate Finance, Elsevier, vol. 72(C).
    2. Misund, Bard, 2016. "Common and Fundamental Risk Factors in Shareholder Returns of Norwegian Salmon Producing Companies," UiS Working Papers in Economics and Finance 2016/17, University of Stavanger.
    3. Magalhães de Oliveira, Gustavo & Sellare, Jorge & Cisneros, Elias, Börner, Jan & Börner, Jan, 2024. "Mind your language: Political signaling and deforestation in the Brazilian Amazon," Discussion Papers 333334, University of Bonn, Center for Development Research (ZEF).
    4. Insley, Margaret, 2017. "Resource extraction with a carbon tax and regime switching prices: Exercising your options," Energy Economics, Elsevier, vol. 67(C), pages 1-16.

  7. Christian-Oliver Ewald & Ruolan Ouyang, 2017. "An Analysis of the Fish Pool Market in the Context of Seasonality and Stochastic Convenience Yield," Marine Resource Economics, University of Chicago Press, vol. 32(4), pages 431-449.

    Cited by:

    1. Jilong Chen & Christian Ewald & Ruolan Ouyang & Sjur Westgaard & Xiaoxia Xiao, 2022. "Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil," Annals of Operations Research, Springer, vol. 313(1), pages 29-46, June.
    2. Ma, Zonggang & Ma, Chaoqun & Wu, Zhijian, 2020. "Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield," Chaos, Solitons & Fractals, Elsevier, vol. 137(C).
    3. Ewald, Christian & Zou, Yihan, 2021. "Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump?," European Journal of Operational Research, Elsevier, vol. 294(2), pages 801-815.
    4. Schütz, Peter & Westgaard, Sjur, 2018. "Optimal hedging strategies for salmon producers," Journal of Commodity Markets, Elsevier, vol. 12(C), pages 60-70.

  8. Chen, Jilong & Ewald, Christian-Oliver, 2017. "Pricing commodity futures options in the Schwartz multi factor model with stochastic volatility: An asymptotic method," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 144-151.

    Cited by:

    1. Chen, Jilong & Xu, Liao & Xu, Hao, 2022. "The impact of COVID-19 on commodity options market: Evidence from China," Economic Modelling, Elsevier, vol. 116(C).
    2. Christian-Oliver Ewald & Aihua Zhang & Zhe Zong, 2019. "On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman Filter," Annals of Operations Research, Springer, vol. 282(1), pages 119-130, November.

  9. Ewald, Christian-Oliver & Zhang, Hai, 2016. "Hedge fund seeding via fees-for-seed swaps under idiosyncratic risk," Journal of Economic Dynamics and Control, Elsevier, vol. 71(C), pages 45-59.

    Cited by:

    1. Ewald, Christian Oliver & Taub, Bart, 2022. "Real options, risk aversion and markets: A corporate finance perspective," Journal of Corporate Finance, Elsevier, vol. 72(C).
    2. Dong, Linjia & Yang, Zhaojun, 2023. "Investment and financing analysis for a venture capital alternative," Economic Modelling, Elsevier, vol. 126(C).
    3. Luo, Deqing & Wu, Xiaoping & Xu, Jiawen & Yan, Jingzhou, 2022. "Robust leverage decision under locked wealth and high-water mark contract," Finance Research Letters, Elsevier, vol. 46(PB).

  10. Christian-Oliver Ewald & Roy Nawar & Ruolan Ouyang & Tak Kuen Siu, 2016. "The market for salmon futures: an empirical analysis of the Fish Pool using the Schwartz multi-factor model," Quantitative Finance, Taylor & Francis Journals, vol. 16(12), pages 1823-1842, December.

    Cited by:

    1. Misund, Bård, 2018. "Common and fundamental risk factors in shareholder returns of Norwegian salmon producing companies," Journal of Commodity Markets, Elsevier, vol. 12(C), pages 19-30.

  11. Christian-Oliver Ewald & Johannes Geissler, 2015. "Markets For Inflation-Indexed Bonds As Mechanisms For Efficient Monetary Policy," Mathematical Finance, Wiley Blackwell, vol. 25(4), pages 869-889, October.

    Cited by:

    1. Ewald, Christian-Oliver & Geißler, Johannes, 2017. "Optimal contracts for central bankers: Calls on inflation," Applied Mathematics and Computation, Elsevier, vol. 292(C), pages 57-62.

  12. Ewald, Christian-Oliver & Yor, Marc, 2015. "On increasing risk, inequality and poverty measures: Peacocks, lyrebirds and exotic options," Journal of Economic Dynamics and Control, Elsevier, vol. 59(C), pages 22-36.

    Cited by:

    1. Bogso, Antoine-Marie & Takam Soh, Patrice, 2017. "Weak decreasing stochastic order," Statistics & Probability Letters, Elsevier, vol. 126(C), pages 49-58.
    2. Gabriela Pesce & Florencia Verónica Pedroni & Etelvina Chávez & María de la Paz Moral & María Andrea Rivero, 2021. "Exotic options: conceptualization and evolution in the literature from a systematic review," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 95, pages 231-275, July-Dece.
    3. Liu, Yating & Pagès, Gilles, 2022. "Monotone convex order for the McKean–Vlasov processes," Stochastic Processes and their Applications, Elsevier, vol. 152(C), pages 312-338.
    4. Guglielmo D'Amico & Riccardo De Blasis & Philippe Regnault, 2020. "Confidence sets for dynamic poverty indexes," Papers 2006.06595, arXiv.org.

  13. Sai Hung Marten Ting & Christian-Oliver Ewald, 2014. "Asymptotic Solutions for Australian Options with Low Volatility," Applied Mathematical Finance, Taylor & Francis Journals, vol. 21(6), pages 595-613, December.

    Cited by:

    1. Ha, Mijin & Kim, Donghyun & Yoon, Ji-Hun, 2024. "Valuing of timer path-dependent options," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 215(C), pages 208-227.

  14. Ewald, Christian-Oliver & Menkens, Olaf & Hung Marten Ting, Sai, 2013. "Asian and Australian options: A common perspective," Journal of Economic Dynamics and Control, Elsevier, vol. 37(5), pages 1001-1018.

    Cited by:

    1. Jilong Chen & Christian Ewald, 2017. "On the Performance of the Comonotonicity Approach for Pricing Asian Options in Some Benchmark Models from Equities and Commodities," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-32, March.
    2. Zhang, Wei-Guo & Li, Zhe & Liu, Yong-Jun, 2018. "Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 402-418.
    3. Jan Vecer, 2013. "Asian options on the harmonic average," Quantitative Finance, Taylor & Francis Journals, vol. 14(8), pages 1315-1322, September.
    4. Ioannis Kyriakou & Panos K. Pouliasis & Nikos C. Papapostolou, 2016. "Jumps and stochastic volatility in crude oil prices and advances in average option pricing," Quantitative Finance, Taylor & Francis Journals, vol. 16(12), pages 1859-1873, December.
    5. Chung, Shing Fung & Wong, Hoi Ying, 2014. "Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 130-140.
    6. Ewald, Christian-Oliver & Yor, Marc, 2015. "On increasing risk, inequality and poverty measures: Peacocks, lyrebirds and exotic options," Journal of Economic Dynamics and Control, Elsevier, vol. 59(C), pages 22-36.

  15. Ting, Sai Hung Marten & Ewald, Christian-Oliver & Wang, Wen-Kai, 2013. "On the investment–uncertainty relationship in a real option model with stochastic volatility," Mathematical Social Sciences, Elsevier, vol. 66(1), pages 22-32.

    Cited by:

    1. Ha, Mijin & Kim, Donghyun & Yoon, Ji-Hun, 2024. "Valuing of timer path-dependent options," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 215(C), pages 208-227.
    2. Min-Ku Lee, 2019. "Pricing Perpetual American Lookback Options Under Stochastic Volatility," Computational Economics, Springer;Society for Computational Economics, vol. 53(3), pages 1265-1277, March.
    3. Huang, Bing & Cao, Jiling & Chung, Hyuck, 2013. "Strategic real options with stochastic volatility in a duopoly model," MPRA Paper 45731, University Library of Munich, Germany.
    4. Kim, Jeong-Hoon & Lee, Min-Ku & Sohn, So Young, 2014. "Investment timing under hybrid stochastic and local volatility," Chaos, Solitons & Fractals, Elsevier, vol. 67(C), pages 58-72.
    5. Chen, Jilong & Ewald, Christian-Oliver, 2017. "Pricing commodity futures options in the Schwartz multi factor model with stochastic volatility: An asymptotic method," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 144-151.

  16. Ewald, Christian-Oliver & Nawar, Roy & Siu, Tak Kuen, 2013. "Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance," Energy Economics, Elsevier, vol. 36(C), pages 97-107.

    Cited by:

    1. Takuji Arai & Yuto Imai & Ryoichi Suzuki, 2016. "Numerical Analysis On Local Risk-Minimization For Exponential Lévy Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(02), pages 1-27, March.
    2. Donald Lien & Ziling Wang & Xiaojian Yu, 2021. "Optimal quantile hedging under Markov regime switching," Empirical Economics, Springer, vol. 60(5), pages 2177-2201, May.
    3. Takuji Arai & Yuto Imai & Ryoichi Suzuki, 2015. "Numerical analysis on local risk-minimization forexponential L\'evy models," Papers 1506.03898, arXiv.org.

  17. Sai Hung Marten Ting & Christian-Oliver Ewald, 2013. "On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model," Quantitative Finance, Taylor & Francis Journals, vol. 13(6), pages 939-954, May.

    Cited by:

    1. Jovanka Lili Matic & Natalie Packham & Wolfgang Karl Härdle, 2023. "Hedging cryptocurrency options," Review of Derivatives Research, Springer, vol. 26(1), pages 91-133, April.
    2. Chen, Jilong & Ewald, Christian-Oliver, 2017. "Pricing commodity futures options in the Schwartz multi factor model with stochastic volatility: An asymptotic method," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 144-151.

  18. Walailuck Chavanasporn & Christian-Oliver Ewald, 2012. "Privatization of businesses and flexible investment: a real option approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 35(1), pages 75-89, May.

    Cited by:

    1. Arkin, V. & Slastnikov, A., 2019. "Mathematical Model of Unitary Enterprise Privatization in the Real Sector," Journal of the New Economic Association, New Economic Association, vol. 43(3), pages 12-33.

  19. Walailuck Chavanasporn & Christian-Oliver Ewald, 2012. "A Numerical Method for Solving Stochastic Optimal Control Problems with Linear Control," Computational Economics, Springer;Society for Computational Economics, vol. 39(4), pages 429-446, April.

    Cited by:

    1. Walailuck Chavanasporn & Christian-Oliver Ewald, 2012. "Privatization of businesses and flexible investment: a real option approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 35(1), pages 75-89, May.

  20. Zhaojun Yang & Christian-Oliver Ewald & Olaf Menkens, 2011. "Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 74(1), pages 93-120, August.

    Cited by:

    1. Gan, Lirong & Wang, Huamao & Yang, Zhaojun, 2020. "Machine learning solutions to challenges in finance: An application to the pricing of financial products," Technological Forecasting and Social Change, Elsevier, vol. 153(C).

  21. Ewald, Christian-Oliver & Wang, Wen-Kai, 2011. "Analytic solutions for infinite horizon stochastic optimal control problems via finite horizon approximation: A practical guide," Mathematical Social Sciences, Elsevier, vol. 61(3), pages 146-151, May.

    Cited by:

    1. Martin Forster & Davide La Torre & Peter Lambert, 2012. "Optimal control of inequality under uncertainty," Discussion Papers 12/07, Department of Economics, University of York.
    2. Wen-Kai Wang & Christian-Oliver Ewald, 2010. "Dynamic voluntary provision of public goods with uncertainty: a stochastic differential game model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 33(2), pages 97-116, November.
    3. Thomas H. Jørgensen & Maxime Tô, 2020. "Robust Estimation of Finite Horizon Dynamic Economic Models," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 499-509, February.
    4. Wang, Wen-Kai & Ewald, Christian-Oliver, 2010. "A stochastic differential Fishery game for a two species fish population with ecological interaction," Journal of Economic Dynamics and Control, Elsevier, vol. 34(5), pages 844-857, May.

  22. Ewald, Christian-Oliver & Wang, Wen-Kai, 2010. "Irreversible investment with Cox-Ingersoll-Ross type mean reversion," Mathematical Social Sciences, Elsevier, vol. 59(3), pages 314-318, May.

    Cited by:

    1. Tim Leung & Xin Li & Zheng Wang, 2014. "Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs," Papers 1411.6080, arXiv.org.
    2. Tim Leung & Zheng Wang, 2016. "Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics," Papers 1610.08143, arXiv.org.
    3. Bouasker, O. & Letifi, N. & Prigent, J.-L., 2016. "Optimal funding and hiring/firing policies with mean reverting demand," Economic Modelling, Elsevier, vol. 58(C), pages 569-579.
    4. Ting, Sai Hung Marten & Ewald, Christian-Oliver & Wang, Wen-Kai, 2013. "On the investment–uncertainty relationship in a real option model with stochastic volatility," Mathematical Social Sciences, Elsevier, vol. 66(1), pages 22-32.
    5. Marcel Philipp Müller & Sebastian Stöckl & Steffen Zimmermann & Bernd Heinrich, 2016. "Decision Support for IT Investment Projects," Business & Information Systems Engineering: The International Journal of WIRTSCHAFTSINFORMATIK, Springer;Gesellschaft für Informatik e.V. (GI), vol. 58(6), pages 381-396, December.
    6. Tim Leung & Zheng Wang, 2019. "Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics," Annals of Finance, Springer, vol. 15(1), pages 1-28, March.
    7. Glover, Kristoffer J. & Hambusch, Gerhard, 2016. "Leveraged investments and agency conflicts when cash flows are mean reverting," Journal of Economic Dynamics and Control, Elsevier, vol. 67(C), pages 1-21.
    8. Junkee Jeon & Geonwoo Kim, 2020. "An Integral Equation Approach to the Irreversible Investment Problem with a Finite Horizon," Mathematics, MDPI, vol. 8(11), pages 1-10, November.

  23. Yang, Zhaojun & Ewald, Christian-Oliver, 2010. "On the non-equilibrium density of geometric mean reversion," Statistics & Probability Letters, Elsevier, vol. 80(7-8), pages 608-611, April.

    Cited by:

    1. R. S. Tunaru, 2018. "Dividend derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 18(1), pages 63-81, January.
    2. Ewald, Christian-Oliver & Menkens, Olaf & Hung Marten Ting, Sai, 2013. "Asian and Australian options: A common perspective," Journal of Economic Dynamics and Control, Elsevier, vol. 37(5), pages 1001-1018.

  24. Wang, Wen-Kai & Ewald, Christian-Oliver, 2010. "A stochastic differential Fishery game for a two species fish population with ecological interaction," Journal of Economic Dynamics and Control, Elsevier, vol. 34(5), pages 844-857, May.

    Cited by:

    1. Colombo, Luca & Labrecciosa, Paola, 2021. "A stochastic differential game of duopolistic competition with sticky prices," Journal of Economic Dynamics and Control, Elsevier, vol. 122(C).
    2. Wen-Kai Wang & Christian-Oliver Ewald, 2010. "Dynamic voluntary provision of public goods with uncertainty: a stochastic differential game model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 33(2), pages 97-116, November.
    3. Eric Fesselmeyer & Marc Santugini, 2009. "Strategic Exploitation of a Common Resource under Environmental Risk," Cahiers de recherche 09-08, HEC Montréal, Institut d'économie appliquée, revised Feb 2012.
    4. Emmi Nieminen & Lone Grønbæk Kronbak & Marko Lindroos, 2016. "International Agreements in the Multispecies Baltic Sea Fisheries," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 65(1), pages 109-134, September.
    5. Stein Ivar Steinshamn, 2017. "Predators in the market: implications of market interaction on optimal resource management," Journal of Bioeconomics, Springer, vol. 19(3), pages 327-341, October.
    6. Guennady Ougolnitsky & Anatoly Usov, 2019. "Spatially Distributed Differential Game Theoretic Model of Fisheries," Mathematics, MDPI, vol. 7(8), pages 1-13, August.
    7. Colombo, Luca & Labrecciosa, Paola, 2022. "Product quality differentiation in a renewable resource oligopoly," Journal of Environmental Economics and Management, Elsevier, vol. 111(C).
    8. van Dijk, Diana & Hendrix, Eligius M.T. & Haijema, Rene & Groeneveld, Rolf A. & van Ierland, Ekko C., 2014. "On solving a bi-level stochastic dynamic programming model for analyzing fisheries policies: Fishermen behavior and optimal fish quota," Ecological Modelling, Elsevier, vol. 272(C), pages 68-75.
    9. Athanassoglou, Stergios, 2010. "Dynamic nonpoint-source pollution control policy: Ambient transfers and uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 34(12), pages 2494-2509, December.
    10. Engwerda, Jacob, 2017. "Stabilization of an Uncertain Simple Fishery Management Game," Discussion Paper 2017-031, Tilburg University, Center for Economic Research.
    11. Ewald, Christian-Oliver & Wang, Wen-Kai, 2011. "Analytic solutions for infinite horizon stochastic optimal control problems via finite horizon approximation: A practical guide," Mathematical Social Sciences, Elsevier, vol. 61(3), pages 146-151, May.

  25. Wen-Kai Wang & Christian-Oliver Ewald, 2010. "Dynamic voluntary provision of public goods with uncertainty: a stochastic differential game model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 33(2), pages 97-116, November.

    Cited by:

    1. Han Jiang & Aggey Simons, 2021. "Charitable Giving and NPOs Investment Decision in a Stochastic Dynamic Economy," Working Papers 2113E Classification-H41., University of Ottawa, Department of Economics.
    2. Rama Cont & Xin Guo & Renyuan Xu, 2020. "Pareto Optima for a Class of Singular Control Games," Working Papers hal-03049246, HAL.
    3. Rama Cont & Xin Guo & Renyuan Xu, 2021. "Interbank lending with benchmark rates: Pareto optima for a class of singular control games," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1357-1393, October.
    4. D. Yeung & L. Petrosyan, 2013. "Subgame Consistent Cooperative Provision of Public Goods," Dynamic Games and Applications, Springer, vol. 3(3), pages 419-442, September.
    5. Tamai, Toshiki, 2018. "Dynamic provision of public goods under uncertainty," Economic Modelling, Elsevier, vol. 68(C), pages 409-415.
    6. Ewald, Christian-Oliver & Wang, Wen-Kai, 2011. "Analytic solutions for infinite horizon stochastic optimal control problems via finite horizon approximation: A practical guide," Mathematical Social Sciences, Elsevier, vol. 61(3), pages 146-151, May.
    7. Ferrari, Giorgio & Riedel, Frank & Steg, Jan-Henrik, 2016. "Continuous-Time Public Good Contribution under Uncertainty," Center for Mathematical Economics Working Papers 485, Center for Mathematical Economics, Bielefeld University.

  26. Aihua Zhang & Christian-Oliver Ewald, 2010. "Optimal investment for a pension fund under inflation risk," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 71(2), pages 353-369, April.

    Cited by:

    1. Chyi Lin Lee & Ming-Long Lee, 2012. "Do European real estate stocks hedge inflation? Evidence from developed and emerging markets," ERES eres2012_155, European Real Estate Society (ERES).
    2. Jian Pan & Qingxian Xiao, 2017. "Optimal mean–variance asset-liability management with stochastic interest rates and inflation risks," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 85(3), pages 491-519, June.
    3. Aihua Zhang, 2010. "A closed-form solution for the continuous-time consumption model with endogenous labor income," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 33(2), pages 149-167, November.
    4. Dong, Yinghui & Zheng, Harry, 2019. "Optimal investment of DC pension plan under short-selling constraints and portfolio insurance," Insurance: Mathematics and Economics, Elsevier, vol. 85(C), pages 47-59.
    5. Xiaoyi Zhang, 2022. "Optimal DC Pension Management Under Inflation Risk With Jump Diffusion Price Index and Cost of Living Process," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 1253-1270, June.
    6. Yao, Haixiang & Yang, Zhou & Chen, Ping, 2013. "Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 851-863.
    7. Wu, Huiling & Zhang, Ling & Chen, Hua, 2015. "Nash equilibrium strategies for a defined contribution pension management," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 202-214.
    8. Huiling Wu, 2016. "Optimal Investment-Consumption Strategy under Inflation in a Markovian Regime-Switching Market," Discrete Dynamics in Nature and Society, Hindawi, vol. 2016, pages 1-17, July.
    9. Guan, Guohui & Liang, Zongxia & Xia, Yi, 2023. "Optimal management of DC pension fund under the relative performance ratio and VaR constraint," European Journal of Operational Research, Elsevier, vol. 305(2), pages 868-886.
    10. Xiaoyi Zhang & Junyi Guo, 2018. "The Role of Inflation-Indexed Bond in Optimal Management of Defined Contribution Pension Plan During the Decumulation Phase," Risks, MDPI, vol. 6(2), pages 1-16, March.
    11. Dong, Yinghui & Zheng, Harry, 2020. "Optimal investment with S-shaped utility and trading and Value at Risk constraints: An application to defined contribution pension plan," European Journal of Operational Research, Elsevier, vol. 281(2), pages 341-356.
    12. Černý, Aleš & Melicherčík, Igor, 2020. "Simple explicit formula for near-optimal stochastic lifestyling," European Journal of Operational Research, Elsevier, vol. 284(2), pages 769-778.
    13. Yueyang Zheng & Jingtao Shi, 2020. "A Stackelberg Game of Backward Stochastic Differential Equations with Applications," Dynamic Games and Applications, Springer, vol. 10(4), pages 968-992, December.
    14. Wu, Huiling & Zeng, Yan, 2015. "Equilibrium investment strategy for defined-contribution pension schemes with generalized mean–variance criterion and mortality risk," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 396-408.
    15. Yao, Haixiang & Lai, Yongzeng & Ma, Qinghua & Jian, Minjie, 2014. "Asset allocation for a DC pension fund with stochastic income and mortality risk: A multi-period mean–variance framework," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 84-92.
    16. Li, Shaoyu & Wei, Lijia & Xu, Zhiwei, 2017. "Dynamic asset allocation and consumption under inflation inequality: The impacts of inflation experiences and expectations," Economic Modelling, Elsevier, vol. 61(C), pages 113-125.
    17. Jingtang Ma & Zhengyang Lu & Zhenyu Cui, 2022. "Delta family approach for the stochastic control problems of utility maximization," Papers 2202.12745, arXiv.org.
    18. Wujun Lv & Linlin Tian & Xiaoyi Zhang, 2023. "Optimal Defined Contribution Pension Management with Jump Diffusions and Common Shock Dependence," Mathematics, MDPI, vol. 11(13), pages 1-20, July.
    19. Chen, Zheng & Li, Zhongfei & Zeng, Yan & Sun, Jingyun, 2017. "Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 137-150.
    20. Baltas, I. & Dopierala, L. & Kolodziejczyk, K. & Szczepański, M. & Weber, G.-W. & Yannacopoulos, A.N., 2022. "Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty," European Journal of Operational Research, Elsevier, vol. 298(3), pages 1162-1174.
    21. Chen, Zheng & Li, Zhongfei & Zeng, Yan, 2023. "Portfolio choice with illiquid asset for a loss-averse pension fund investor," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 60-83.
    22. Rama Malladi, 2022. "HARI: Characteristics of a new defined lifestyle (DL) retirement planning product," Journal of Financial Services Marketing, Palgrave Macmillan, vol. 27(2), pages 147-163, June.
    23. Huang, Zongyuan & Wang, Haiyang & Wu, Zhen, 2020. "A kind of optimal investment problem under inflation and uncertain time horizon," Applied Mathematics and Computation, Elsevier, vol. 375(C).
    24. Hui Mi & Zuo Quan Xu & Dongfang Yang, 2023. "Optimal Management of DC Pension Plan with Inflation Risk and Tail VaR Constraint," Papers 2309.01936, arXiv.org.
    25. Park, Kyunghyun & Wong, Hoi Ying & Yan, Tingjin, 2023. "Robust retirement and life insurance with inflation risk and model ambiguity," Insurance: Mathematics and Economics, Elsevier, vol. 110(C), pages 1-30.

  27. Rolf Poulsen & Klaus Reiner Schenk-Hoppe & Christian-Oliver Ewald, 2009. "Risk minimization in stochastic volatility models: model risk and empirical performance," Quantitative Finance, Taylor & Francis Journals, vol. 9(6), pages 693-704.

    Cited by:

    1. Márcio Laurini, 2012. "A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models," IBMEC RJ Economics Discussion Papers 2012-02, Economics Research Group, IBMEC Business School - Rio de Janeiro.
    2. Ke Nian & Thomas F. Coleman & Yuying Li, 2018. "Learning minimum variance discrete hedging directly from the market," Quantitative Finance, Taylor & Francis Journals, vol. 18(7), pages 1115-1128, July.
    3. Flavio Angelini & Stefano Herzel, 2015. "Evaluating discrete dynamic strategies in affine models," Quantitative Finance, Taylor & Francis Journals, vol. 15(2), pages 313-326, February.
    4. Yao Tung Huang & Yue Kuen Kwok, 2016. "Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees," Quantitative Finance, Taylor & Francis Journals, vol. 16(6), pages 905-928, June.
    5. Carol Alexander & Andreas Kaeck, 2012. "Does model fit matter for hedging? Evidence from FTSE 100 options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(7), pages 609-638, July.
    6. Chuang, Wen-I & Huang, Teng-Ching & Lin, Bing-Huei, 2013. "Predicting volatility using the Markov-switching multifractal model: Evidence from S&P 100 index and equity options," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 168-187.
    7. Kang, Boda & Ziveyi, Jonathan, 2018. "Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 43-56.
    8. Leonidas S. Rompolis & Elias Tzavalis, 2017. "Pricing and hedging contingent claims using variance and higher order moment swaps," Quantitative Finance, Taylor & Francis Journals, vol. 17(4), pages 531-550, April.
    9. Maciej Augustyniak & Frédéric Godin & Clarence Simard, 2017. "Assessing the effectiveness of local and global quadratic hedging under GARCH models," Quantitative Finance, Taylor & Francis Journals, vol. 17(9), pages 1305-1318, September.
    10. Badescu, Alexandru & Elliott, Robert J. & Ortega, Juan-Pablo, 2014. "Quadratic hedging schemes for non-Gaussian GARCH models," Journal of Economic Dynamics and Control, Elsevier, vol. 42(C), pages 13-32.
    11. Dirk Becherer & Klebert Kentia, 2017. "Hedging under generalized good-deal bounds and model uncertainty," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 86(1), pages 171-214, August.
    12. Ewald, Christian-Oliver & Nawar, Roy & Siu, Tak Kuen, 2013. "Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance," Energy Economics, Elsevier, vol. 36(C), pages 97-107.
    13. Mozumder, Sharif & Dempsey, Michael & Kabir, M. Humayun & Choudhry, Taufiq, 2016. "An improved framework for approximating option prices with application to option portfolio hedging," Economic Modelling, Elsevier, vol. 59(C), pages 285-296.
    14. Matic, Jovanka Lili & Packham, Natalie & Härdle, Wolfgang Karl, 2021. "Hedging Cryptocurrency Options," MPRA Paper 110774, University Library of Munich, Germany.
    15. Samuel N. Cohen & Christoph Reisinger & Sheng Wang, 2022. "Hedging option books using neural-SDE market models," Papers 2205.15991, arXiv.org.
    16. Carol Alexander & Alexander Rubinov & Markus Kalepky & Stamatis Leontsinis, 2010. "Regime-Dependent Smile-Adjusted Delta Hedging," ICMA Centre Discussion Papers in Finance icma-dp2010-10, Henley Business School, University of Reading.
    17. Anatoliy Swishchuk, 2013. "Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8660.
    18. Srikanth Iyer & Seema Nanda & Swapnil Kumar, 2013. "An Empirical Comparison of Two Stochastic Volatility Models using Indian Market Data," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(3), pages 243-259, September.
    19. Jovanka Lili Matic & Natalie Packham & Wolfgang Karl Härdle, 2023. "Hedging cryptocurrency options," Review of Derivatives Research, Springer, vol. 26(1), pages 91-133, April.
    20. Yunbi An & Wulin Suo, 2009. "An Empirical Comparison of Option‐Pricing Models in Hedging Exotic Options," Financial Management, Financial Management Association International, vol. 38(4), pages 889-914, December.
    21. Hull, John & White, Alan, 2017. "Optimal delta hedging for options," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 180-190.
    22. Ceci, Claudia & Colaneri, Katia & Cretarola, Alessandra, 2017. "Unit-linked life insurance policies: Optimal hedging in partially observable market models," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 149-163.
    23. Coqueret, Guillaume & Tavin, Bertrand, 2016. "An investigation of model risk in a market with jumps and stochastic volatility," European Journal of Operational Research, Elsevier, vol. 253(3), pages 648-658.
    24. Martin Tegnér & Rolf Poulsen, 2018. "Volatility Is Log-Normal—But Not for the Reason You Think," Risks, MDPI, vol. 6(2), pages 1-16, April.
    25. Simon Ellersgaard & Martin Jönsson & Rolf Poulsen, 2017. "The Fundamental Theorem of Derivative Trading - exposition, extensions and experiments," Quantitative Finance, Taylor & Francis Journals, vol. 17(4), pages 515-529, April.
    26. Alexandru Badescu & Robert J. Elliott & Juan-Pablo Ortega, 2012. "Quadratic hedging schemes for non-Gaussian GARCH models," Papers 1209.5976, arXiv.org, revised Dec 2013.
    27. Maciej Augustyniak & Alexandru Badescu, 2021. "On the computation of hedging strategies in affine GARCH models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 710-735, May.
    28. Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François, 2023. "A discrete-time hedging framework with multiple factors and fat tails: On what matters," Journal of Econometrics, Elsevier, vol. 232(2), pages 416-444.
    29. Dirk Becherer & Klebert Kentia, 2016. "Hedging under generalized good-deal bounds and model uncertainty," Papers 1607.04488, arXiv.org, revised Apr 2017.
    30. Sai Hung Marten Ting & Christian-Oliver Ewald, 2013. "On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model," Quantitative Finance, Taylor & Francis Journals, vol. 13(6), pages 939-954, May.

  28. Ewald, Christian-Oliver, 2008. "A note on the Malliavin derivative operator under change of variable," Statistics & Probability Letters, Elsevier, vol. 78(2), pages 173-178, February.

    Cited by:

    1. Elisa Alòs & Thorsten Rheinländer, 2015. "Pricing and hedging Margrabe options with stochastic volatilities," Economics Working Papers 1475, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2017.

  29. Christian-Oliver Ewald & Zhaojun Yang, 2008. "Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 68(1), pages 97-123, August.

    Cited by:

    1. Song, Dandan & Wang, Huamao & Yang, Zhaojun, 2014. "Learning, pricing, timing and hedging of the option to invest for perpetual cash flows with idiosyncratic risk," Journal of Mathematical Economics, Elsevier, vol. 51(C), pages 1-11.
    2. Wang, Huamao & Yang, Zhaojun & Zhang, Hai, 2015. "Entrepreneurial finance with equity-for-guarantee swap and idiosyncratic risk," European Journal of Operational Research, Elsevier, vol. 241(3), pages 863-871.
    3. Ewald, Christian-Oliver & Wang, Wen-Kai, 2010. "Irreversible investment with Cox-Ingersoll-Ross type mean reversion," Mathematical Social Sciences, Elsevier, vol. 59(3), pages 314-318, May.
    4. Xiaolin Wang & Zhaojun Yang & Pingping Zeng, 2023. "Pricing contingent convertibles with idiosyncratic risk," International Journal of Economic Theory, The International Society for Economic Theory, vol. 19(3), pages 660-693, September.
    5. Dandan Song & Zhaojun Yang, 2014. "Utility-Based Pricing, Timing and Hedging of an American Call Option Under an Incomplete Market with Partial Information," Computational Economics, Springer;Society for Computational Economics, vol. 44(1), pages 1-26, June.
    6. Marcel Philipp Müller & Sebastian Stöckl & Steffen Zimmermann & Bernd Heinrich, 2016. "Decision Support for IT Investment Projects," Business & Information Systems Engineering: The International Journal of WIRTSCHAFTSINFORMATIK, Springer;Gesellschaft für Informatik e.V. (GI), vol. 58(6), pages 381-396, December.
    7. Carmen Schiel & Simon Glöser-Chahoud & Frank Schultmann, 2019. "A real option application for emission control measures," Journal of Business Economics, Springer, vol. 89(3), pages 291-325, April.
    8. Tim Leung & Zheng Wang, 2019. "Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics," Annals of Finance, Springer, vol. 15(1), pages 1-28, March.
    9. Zhao, Li & Huang, Wenli & Yang, Chen & Li, Shenghong, 2018. "Hedge fund leverage with stochastic market conditions," International Review of Economics & Finance, Elsevier, vol. 57(C), pages 258-273.
    10. Yang, Zhaojun & Ewald, Christian-Oliver, 2010. "On the non-equilibrium density of geometric mean reversion," Statistics & Probability Letters, Elsevier, vol. 80(7-8), pages 608-611, April.
    11. Mila Bravo & Dylan Jones & David Pla-Santamaria & Francisco Salas-Molina, 2022. "Encompassing statistically unquantifiable randomness in goal programming: an application to portfolio selection," Operational Research, Springer, vol. 22(5), pages 5685-5706, November.
    12. Jinqiang Yang & Zhaojun Yang, 2012. "Consumption Utility-Based Pricing and Timing of the Option to Invest with Partial Information," Computational Economics, Springer;Society for Computational Economics, vol. 39(2), pages 195-217, February.

  30. Carr, Peter & Ewald, Christian-Oliver & Xiao, Yajun, 2008. "On the qualitative effect of volatility and duration on prices of Asian options," Finance Research Letters, Elsevier, vol. 5(3), pages 162-171, September.

    Cited by:

    1. Ewald, Christian Oliver & Taub, Bart, 2022. "Real options, risk aversion and markets: A corporate finance perspective," Journal of Corporate Finance, Elsevier, vol. 72(C).
    2. Jan Vecer, 2013. "Asian options on the harmonic average," Quantitative Finance, Taylor & Francis Journals, vol. 14(8), pages 1315-1322, September.
    3. Bogso, Antoine Marie, 2015. "MRL order, log-concavity and an application to peacocks," Stochastic Processes and their Applications, Elsevier, vol. 125(4), pages 1282-1306.
    4. Chung, Shing Fung & Wong, Hoi Ying, 2014. "Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 130-140.
    5. Zhaojun Yang & Christian-Oliver Ewald & Olaf Menkens, 2011. "Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 74(1), pages 93-120, August.
    6. Ewald, Christian-Oliver & Yor, Marc, 2015. "On increasing risk, inequality and poverty measures: Peacocks, lyrebirds and exotic options," Journal of Economic Dynamics and Control, Elsevier, vol. 59(C), pages 22-36.
    7. Dan Pirjol & Lingjiong Zhu, 2018. "Sensitivities Of Asian Options In The Black–Scholes Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-25, February.
    8. Ting, Sai Hung Marten & Ewald, Christian-Oliver & Wang, Wen-Kai, 2013. "On the investment–uncertainty relationship in a real option model with stochastic volatility," Mathematical Social Sciences, Elsevier, vol. 66(1), pages 22-32.
    9. Dan Pirjol & Lingjiong Zhu, 2016. "Short Maturity Asian Options in Local Volatility Models," Papers 1609.07559, arXiv.org.
    10. Liu, Yating & Pagès, Gilles, 2022. "Monotone convex order for the McKean–Vlasov processes," Stochastic Processes and their Applications, Elsevier, vol. 152(C), pages 312-338.
    11. Dan Pirjol & Lingjiong Zhu, 2023. "Sensitivities of Asian options in the Black-Scholes model," Papers 2301.06460, arXiv.org.
    12. Ewald, Christian-Oliver & Menkens, Olaf & Hung Marten Ting, Sai, 2013. "Asian and Australian options: A common perspective," Journal of Economic Dynamics and Control, Elsevier, vol. 37(5), pages 1001-1018.

  31. Christian-Oliver Ewald & Aihua Zhang, 2006. "A new technique for calibrating stochastic volatility models: the Malliavin gradient method," Quantitative Finance, Taylor & Francis Journals, vol. 6(2), pages 147-158.

    Cited by:

    1. Christian-Oliver Ewald & Zhaojun Yang, 2008. "Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 68(1), pages 97-123, August.
    2. Ewald, Christian-Oliver, 2008. "A note on the Malliavin derivative operator under change of variable," Statistics & Probability Letters, Elsevier, vol. 78(2), pages 173-178, February.
    3. Elisa Alòs & Christian-Olivier Ewald, 2005. "A note on the Malliavin differentiability of the Heston volatility," Economics Working Papers 880, Department of Economics and Business, Universitat Pompeu Fabra.
    4. Bilgi Yilmaz, 2018. "Computation of option greeks under hybrid stochastic volatility models via Malliavin calculus," Papers 1806.06061, arXiv.org.
    5. Yang, Zhaojun & Ewald, Christian-Oliver, 2010. "On the non-equilibrium density of geometric mean reversion," Statistics & Probability Letters, Elsevier, vol. 80(7-8), pages 608-611, April.

  32. Christian-Oliver Ewald, 2005. "Optimal Logarithmic Utility And Optimal Portfolios For An Insider In A Stochastic Volatility Market," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(03), pages 301-319.

    Cited by:

    1. Christian-Oliver Ewald & Zhaojun Yang, 2008. "Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 68(1), pages 97-123, August.
    2. Elisa Alòs & Christian-Olivier Ewald, 2005. "A note on the Malliavin differentiability of the Heston volatility," Economics Working Papers 880, Department of Economics and Business, Universitat Pompeu Fabra.
    3. Ewald, Christian-Oliver & Xiao, Yajun, 2007. "Information : Price And Impact On General Welfare And Optimal Investment. An Anticipative Stochastic Differential Game Model," MPRA Paper 3301, University Library of Munich, Germany.

  33. Christian-Oliver Ewald, 2005. "Local volatility in the Heston model: a Malliavin calculus approach," International Journal of Stochastic Analysis, Hindawi, vol. 2005, pages 1-16, January.

    Cited by:

    1. Koike, Takaaki & Saporito, Yuri & Targino, Rodrigo, 2022. "Avoiding zero probability events when computing Value at Risk contributions," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 173-192.
    2. Elisa Alòs & Christian-Olivier Ewald, 2005. "A note on the Malliavin differentiability of the Heston volatility," Economics Working Papers 880, Department of Economics and Business, Universitat Pompeu Fabra.

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