Tractable hedging with additional hedge instruments (Q539149): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+B30
@@ Property / Mathematics Subject Classification ID: 91B30 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+5900593
@@ Property / zbMATH DE Number: 5900593 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic volatility
@@ Property / zbMATH Keywords: stochastic volatility / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+robust hedging
@@ Property / zbMATH Keywords: robust hedging / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+tractable hedging
@@ Property / zbMATH Keywords: tractable hedging / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+uncertain volatility model
@@ Property / zbMATH Keywords: uncertain volatility model / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+additional hedge instrument
@@ Property / zbMATH Keywords: additional hedge instrument / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+coherent risk measure
@@ Property / zbMATH Keywords: coherent risk measure / rank @@
+Normal rank
@@ 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/10.1007/s11147-010-9056-z
+Normal rank
@@ Property / OpenAlex ID @@
+W2029176597
@@ Property / OpenAlex ID: W2029176597 / rank @@
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
+Normal rank
@@ Property / cites work @@
+DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS<sup>1</sup>
+Normal rank
@@ Property / cites work @@
+Q2725576
@@ Property / cites work: Q2725576 / rank @@
+Normal rank
@@ Property / cites work @@
+Model misspecification analysis for bond options and Markovian hedging strategies
+Normal rank
@@ Property / cites work @@
+Tractable hedging: An implementation of robust hedging strategies
+Normal rank
@@ Property / cites work @@
+A new approach for option pricing under stochastic volatility
+Normal rank
@@ Property / cites work @@
+Transform Analysis and Asset Pricing for Affine Jump-diffusions
+Normal rank
@@ Property / cites work @@
+Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
+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 @@
+Two-dimensional risk-neutral valuation relationships for the pricing of options
+Normal rank
@@ Property / cites work @@
+MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Volatility misspecification, option pricing and superreplication via coupling
+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 @@
+The relaxed investor and parameter uncertainty
@@ Property / cites work: The relaxed investor and parameter uncertainty / rank @@
+Normal rank
@@ Property / cites work @@
+Tighter option bounds from multiple exercise prices
+Normal rank
@@ Property / cites work @@
+Exact Superreplication Strategies for a Class of Derivative Assets
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:539149