An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs (Q2873539): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1080/14697688.2010.494613
+Normal rank
@@ Property / OpenAlex ID @@
+W3121396708
@@ Property / OpenAlex ID: W3121396708 / rank @@
+Normal rank
@@ Property / cites work @@
+Small transaction cost asymptotics and dynamic hedging
+Normal rank
@@ Property / cites work @@
+Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
+Normal rank
@@ Property / cites work @@
+Optimal delta-hedging under transactions costs
@@ Property / cites work: Optimal delta-hedging under transactions costs / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic complex hedging in additive markets
@@ Property / cites work: Dynamic complex hedging in additive markets / rank @@
+Normal rank
@@ Property / cites work @@
+European Option Pricing with Transaction Costs
@@ Property / cites work: European Option Pricing with Transaction Costs / rank @@
+Normal rank
@@ Property / cites work @@
+The illusions of dynamic replication
@@ Property / cites work: The illusions of dynamic replication / rank @@
+Normal rank
@@ Property / cites work @@
+Robustness of the Black and Scholes Formula
@@ Property / cites work: Robustness of the Black and Scholes Formula / rank @@
+Normal rank
@@ Property / cites work @@
+ON THE PROFIT AND LOSS DISTRIBUTION OF DYNAMIC HEDGING STRATEGIES
+Normal rank
@@ Property / cites work @@
+EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
@@ Property / cites work: EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH / rank @@
+Normal rank
@@ Property / cites work @@
+Calibration and hedging under jump diffusion
@@ Property / cites work: Calibration and hedging under jump diffusion / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic Hedging Under Jump Diffusion with Transaction Costs
+Normal rank
@@ Property / cites work @@
+Q2763689
@@ Property / cites work: Q2763689 / rank @@
+Normal rank
@@ Property / cites work @@
+Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+A new computational tool for analysing dynamic hedging under transaction costs
+Normal rank
@@ Property / cites work @@
+Asymptotic analysis of hedging errors in models with jumps
+Normal rank
@@ Property / cites work @@
+Efficient analytic approximation of the optimal hedging strategy for a European call option with transaction costs
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:2873539