Dynamic hedging under jump diffusion with transaction costs

DOI10.1287/OPRE.1080.0598MaRDI QIDQ3100366zbMATH OpenOpenAlexFDO

Authors J. S. Kennedy, P. A. Forsyth, K. R. Vetzal

Publication date 24 November 2011

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/25205069e10a15531d544d13820c1ea03ca9225e

zbMATH Keywords

asset pricinghedgingoption pricingtransaction costs

Mathematics Subject Classification ID

Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20)

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(20)

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• Pricing dynamic guaranteed funds under the hyper-exponential jump-diffusion model
• An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs
• A new computational tool for analysing dynamic hedging under transaction costs
• Regime switching in stochastic models of commodity prices: an application to an optimal tree harvesting problem
• Iterative methods for the solution of a singular control formulation of a GMWB pricing problem
• Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions
• Hedging error estimate of the American put option problem in jump-diffusion processes
• MARKET PRICE OF TRADING LIQUIDITY RISK AND MARKET DEPTH
• A Fourier cosine method for an efficient computation of solutions to BSDEs
• Approximate hedging of options under jump-diffusion processes
• Data-driven hedging of stock index options via deep learning
• A general method for analysis and valuation of drawdown risk
• The effect of modelling parameters on the value of GMWB guarantees

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