Hedging error estimate of the American put option problem in jump-diffusion processes
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Cites work
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- Asymptotically optimal discretization of hedging strategies with jumps
- Calibration and hedging under jump diffusion
- Contingent claims valuation when the security price is a combination of an Itō process and a random point process
- Discrete time hedging errors for options with irregular payoffs
- Discrete time hedging of the American option
- Dynamic hedging under jump diffusion with transaction costs
- Estimate for the discrete time hedging error of the American option on a dividend-paying stock
- EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
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- Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
- On optimal stopping and free boundary problems
- Optimal stopping, free boundary, and American option in a jump-diffusion model
- Option pricing when underlying stock returns are discontinuous
- Option pricing, interest rates and risk management
- Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
- Robustness of the Black and Scholes Formula
- Stochastic calculus for finance. II: Continuous-time models.
- Variance-optimal hedging for processes with stationary independent increments
- Variational inequalities and the pricing of American options
- When is time continuous?
Cited in
(8)- Asymptotic analysis of hedging errors in models with jumps
- Error estimates for binomial approximations of game put options
- Optimal hedging of American options in discrete time
- On the monitoring error of the supremum of a normal jump diffusion process
- Discrete time hedging of the American option
- Estimate for the discrete time hedging error of the American option on a dividend-paying stock
- Inexact arithmetic considerations for direct control and penalty methods: American options under jump diffusion
- A correction note to ``Discrete time hedging errors for options with irregular payoffs
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