PRICING OPTIONS FROM THE POINT OF VIEW OF A TRADER

DOI10.1142/S0219024906004049MaRDI QIDQ5386315zbMATH OpenFDO

Authors Sasha Stoikov

Publication date 14 May 2008

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219024906004049

zbMATH Keywords

incomplete marketsindifference hedgepricingrelative indifferencerisk managementstochastic volatilityVannaVegaVolga

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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• Indifference Pricing and Hedging for Volatility Derivatives
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• Indifference prices and implied volatilities
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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• An example of indifference prices under exponential preferences
• Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random
• Editorial: 20th anniversary of Finance and Stochastics
• Exponential Hedging and Entropic Penalties
• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
• OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS
• Quantile hedging
• Stock price distributions with stochastic volatility: an analytic approach

Cited in

(11)

• Option pricing for a large trader with price impact and liquidity costs
• Option pricing in incomplete markets
• How Duration Between Trades of Underlying Securities Affects Option Prices*
• On agent's agreement and partial-equilibrium pricing in incomplete markets
• UTILITY INDIFFERENCE PRICING OF INTEREST-RATE GUARANTEES
• scientific article; zbMATH DE number 679795 (Why is no real title available?)
• Pricing European options with stochastic volatility under the minimal entropy martingale measure
• Effect of volatility clustering on indifference pricing of options by convex risk measures
• INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT
• Hedging life insurance with pure endowments
• A risk reserve model for hedging in incomplete markets

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