Conservative delta hedging. (Q1884835): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
Import241208061232 (talk | contribs)
Normalize DOI.
 
(3 intermediate revisions by 3 users not shown)
Property / DOI
 
Property / DOI: 10.1214/aoap/1019487360 / rank
Normal rank
 
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1214/aoap/1019487360 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W1995106434 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonparametric Pricing of Interest Rate Derivative Securities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimating continuous-time stochastic volatility models of the short-term interest rate / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3920841 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Processes of normal inverse Gaussian type / rank
 
Normal rank
Property / cites work
 
Property / cites work: Martingale estimation functions for discretely observed diffusion processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Pricing of Options and Corporate Liabilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: ARCH modeling in finance. A review of the theory and empirical evidence / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convex duality in constrained portfolio optimization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hedging contingent claims with constrained portfolios / rank
 
Normal rank
Property / cites work
 
Property / cites work: On dynamic measure of risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation of the coefficients of a diffusion from discrete observations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic volatility in asset prices. Estimation with simulated maximum likelihood / rank
 
Normal rank
Property / cites work
 
Property / cites work: Weighted norm inequalities and hedging in incomplete markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: ARBITRAGE AND FREE LUNCH WITH BOUNDED RISK FOR UNBOUNDED CONTINUOUS PROCESSES / rank
 
Normal rank
Property / cites work
 
Property / cites work: The existence of absolutely continuous local martingale measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: The variance-optimal martingale measure for continuous processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4794153 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the range of options prices / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robustness of the Black and Scholes Formula / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hedging and Maxmin / rank
 
Normal rank
Property / cites work
 
Property / cites work: On estimating the diffusion coefficient from discrete observations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quantile hedging / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficient hedging: cost versus shortfall risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3974816 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3815091 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Continuous Record Asymptotics for Rolling Sample Variance Estimators / rank
 
Normal rank
Property / cites work
 
Property / cites work: ESTIMATION OF CONTINUOUS-TIME MODELS FOR STOCK RETURNS AND INTEREST RATES / rank
 
Normal rank
Property / cites work
 
Property / cites work: Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Spectral methods for identifying scalar diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Martingales and arbitrage in multiperiod securities markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Martingales and stochastic integrals in the theory of continuous trading / rank
 
Normal rank
Property / cites work
 
Property / cites work: Volatility misspecification, option pricing and superreplication via coupling / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option Pricing Under Incompleteness and Stochastic Volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4794126 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Calcul stochastique et problèmes de martingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3774629 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Lectures on the Mathematics of Finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the pricing of contingent claims under constraints / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hedging American contingent claims with constrained portfolios / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4002114 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2771118 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimating equations based on eigenfunctions for a discretely observed diffusion process / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: On exponential families of Markov processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Control of Favorable Games with a Time Limit / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamic programming and mean-variance hedging / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4905685 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4114574 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean-variance hedging for continuous processes: New proofs and examples / rank
 
Normal rank
Property / cites work
 
Property / cites work: EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL<sup>1</sup> / rank
 
Normal rank
Property / cites work
 
Property / cites work: OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL / rank
 
Normal rank
Property / cites work
 
Property / cites work: Risk-minimality and orthogonality of martingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option hedging for semimartingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean-variance hedging for general claims / rank
 
Normal rank
Property / cites work
 
Property / cites work: Semimartingales and Hedging in Incomplete Markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Approximating random variables by stochastic integrals / rank
 
Normal rank
Property / cites work
 
Property / cites work: Maximizing the probability of a perfect hedge / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4396494 / rank
 
Normal rank
Property / DOI
 
Property / DOI: 10.1214/AOAP/1019487360 / rank
 
Normal rank

Latest revision as of 11:32, 16 December 2024

scientific article
Language Label Description Also known as
English
Conservative delta hedging.
scientific article

    Statements

    Conservative delta hedging. (English)
    0 references
    0 references
    27 October 2004
    0 references
    incompleteness
    0 references
    statistical uncertainty
    0 references
    value at risk
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references