Delta-hedging in fractional volatility models

DOI10.1007/S10436-022-00415-WMaRDI QIDQ2694770zbMATH OpenOpenAlexFDO

Authors Qi Zhao, Alexandra Chronopoulou

Publication date 4 April 2023

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10436-022-00415-w

zbMATH Keywords

hedginghedging biaslong-memorystochastic volatility

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

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• Affine fractional stochastic volatility models
• Bayesian inference for partially observed stochastic differential equations driven by fractional Brownian motion
• Brownian motion, martingales, and stochastic calculus
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• Estimation and pricing under long-memory stochastic volatility
• Fractional {O}rnstein-{U}hlenbeck processes
• scientific article; zbMATH DE number 1517499 (Why is no real title available?)
• Kalman type filter under stationary noises
• Long memory in continuous-time stochastic volatility models
• Long-memory processes. Probabilistic properties and statistical methods
• Long-range dependence in the conditional variance of stock returns
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• OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
• Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth
• Perfect hedging in rough Heston models
• Pricing under rough volatility
• Sequential Monte Carlo for fractional stochastic volatility models
• Short-time at-the-money skew and rough fractional volatility
• Stochastic calculus for fractional Brownian motion and related processes.
• Stochastic volatility and option pricing with long-memory in discrete and continuous time
• The detection and estimation of long memory in stochastic volatility
• The Malliavin Calculus and Related Topics
• Volatility is rough

Cited in

(8)

• The role of long memory in hedging effectiveness
• Dynamic hedging based on fractional order stochastic model with memory effect
• Understanding delta-hedged option returns in stochastic volatility environments
• Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging
• ELS pricing and hedging in a fractional Brownian motion environment
• scientific article; zbMATH DE number 5234243 (Why is no real title available?)
• Robustness of Delta Hedging for Path-Dependent Options in Local Volatility Models
• On discrete time hedging errors in a fractional Black-Scholes model

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Uses Software

• longmemo

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