Gamma hedging and rough paths
From MaRDI portal
Cites work
- A course on rough paths. With an introduction to regularity structures
- A càdlàg rough path foundation for robust finance
- Adapted Wasserstein distances and stability in mathematical finance
- Applications of Malliavin calculus to Monte Carlo methods in finance
- Applications of Malliavin calculus to Monte-Carlo methods in finance. II
- Computation of Greeks for barrier and look-back options using Malliavin calculus
- Controlling rough paths
- Dynamic spanning without probabilities
- Functional Itô calculus
- Functional Itō calculus and stochastic integral representation of martingales
- scientific article; zbMATH DE number 3721834 (Why is no real title available?)
- scientific article; zbMATH DE number 2174316 (Why is no real title available?)
- Hörmander's theorem for semilinear SPDEs
- Large deviations and support theorem for diffusion processes via rough paths.
- Martingale optimal transport and robust hedging in continuous time
- Model-independent bounds for option prices -- a mass transport approach
- Multidimensional stochastic processes as rough paths. Theory and applications.
- Non-parametric pricing and hedging of exotic derivatives
- On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options
- On the convergence of higher order hedging schemes: the delta-gamma case
- On the rate of convergence of discrete-time contingent claims.
- Option pricing models without probability: a rough paths approach
- Option pricing using a binomial model with random time steps (A formal model of gamma hedging)
- Pathwise stochastic integrals for model free finance
- Pricing and hedging derivative securities in markets with uncertain volatilities
- Robust hedging of the lookback option
- Robustness of the Black and Scholes Formula
- Rough differential equations with path-dependent coefficients
- Semi-martingales and rough paths theory
- Semigroups of bounded operators and second-order elliptic and parabolic partial differential equations
- Stochastic integration by parts and functional Itô calculus
- The fundamental theorem of derivative trading -- exposition, extensions and experiments
- The Malliavin Calculus and Related Topics
- The Skorokhod embedding problem and its offspring
- The Skorokhod embedding problem and model-independent bounds for option prices
- The tracking error rate of the delta-gamma hedging strategy
- Uncertain volatility and the risk-free synthesis of derivatives
This page was built for publication: Gamma hedging and rough paths
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6927008)
