A power plant valuation under an asymmetric risk criterion taking into account maintenance costs

In an asymptotic framework, we provide an optimal hedging strategy through a solution of a nonlinear partial differential equation.

Asymptotic optimal pricing with asymmetric risk and applications in finance

In Part I, we study several problems of hedging and pricing of options related to a risk measure. Our main approach is the use of an asymmetric risk function and an asymptotic framework in which we obtain optimal solutions through nonlinear partial …

Option valuation and hedging using asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations

Discrete time hedging produces a residual risk, namely, the tracking error. The major problem is to get valuation/hedging policies minimizing this error. We evaluate the risk between trading dates through a function penalizing asymmetrically profits …