Asymptotic analysis of hedging errors in models with jumps
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- scientific article; zbMATH DE number 16922 (Why is no real title available?)
- scientific article; zbMATH DE number 17495 (Why is no real title available?)
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
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Cited in
(37)- Asymptotic analysis for hedging errors in models with respect to geometric fractional Brownian motion
- Option pricing with Legendre polynomials
- Hedging With Linear Regressions and Neural Networks
- Approximate hedging of options under jump-diffusion processes
- The equivalence of dynamic and static asset allocations under the uncertainty caused by Poisson processes
- Tracking errors from discrete hedging in exponential Lévy models
- A discrete-time Clark-Ocone formula for Poisson functionals
- EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
- Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps
- Optimal strategies for hedging portfolios of unit-linked life insurance contracts with minimum death guarantee
- Distribution of Discrete Time Delta-Hedging Error via a Recursive Relation
- Empirical deep hedging
- A note on Malliavin fractional smoothness for Lévy processes and approximation
- Learning generative neural networks with physics knowledge
- Optimal discretization of hedging strategies with directional views
- Estimation of a CIR process with jumps using a closed form approximation likelihood under a strong approximation of order 1
- Data-driven inference for stationary jump-diffusion processes with application to membrane voltage fluctuations in pyramidal neurons
- Asymptotically optimal discretization of hedging strategies with jumps
- An asymptotic decomposition of hedging errors
- Approximation of stochastic integrals with jumps via weighted BMO approach
- Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme
- Efficient discretization of stochastic integrals
- Evaluating the hedging error in price processes with jumps present
- On discrete time hedging errors in a fractional Black-Scholes model
- An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs
- Isogeometric analysis in option pricing
- Computing credit valuation adjustment solving coupled PIDEs in the Bates model
- Error distributions for random grid approximations of multidimensional stochastic integrals
- On suboptimality of delta hedging for Asian options
- Hedging error estimate of the American put option problem in jump-diffusion processes
- Asymptotically efficient discrete hedging
- A radial basis function scheme for option pricing in exponential Lévy models
- Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces
- Evaluating discrete dynamic strategies in affine models
- Exponential ergodicity for diffusions with jumps driven by a Hawkes process
- Asymptotics for discrete time hedging errors under fractional Black-Scholes models
- Portfolio rebalancing error with jumps and mean reversion in asset prices
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