Option pricing with hedging at fixed trading dates

DOI10.1080/13504869600000007MaRDI QIDQ4541525zbMATH OpenOpenAlexFDO

Authors Fabio Mercurio, Ton Vorst

Publication date 1996

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/13504869600000007

Mathematics Subject Classification ID

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

Cites work

• A Stochastic Control Approach to the Pricing of Options
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process¹
• scientific article; zbMATH DE number 4081235 (Why is no real title available?)
• scientific article; zbMATH DE number 1304728 (Why is no real title available?)
• Martingales and stochastic integrals in the theory of continuous trading
• On Quadratic Cost Criteria for Option Hedging
• Option hedging for semimartingales
• Option pricing: A simplified approach
• Residual risks and hedging strategies in Markovian markets
• RISK‐MINIMIZING HEDGING STRATEGIES UNDER RESTRICTED INFORMATION
• The pricing of options and corporate liabilities
• Variance-Optimal Hedging in Discrete Time

Cited in

(6)

• Hedging guarantees in variable annuities under both equity and interest rate risks
• A new computational tool for analysing dynamic hedging under transaction costs
• Optimal hedging of a perpetual American put with a single trade
• Claim pricing and hedging under market incompleteness and ``mean-variance preferences
• A partition of unity finite element method for valuation American option under Black-Scholes model
• About the valuation of American option under Black-Scholes model: a numerical study

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