Option pricing and portfolio hedging under the mixed hedging strategy
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Publication:1618329
DOI10.1016/J.PHYSA.2015.01.021zbMATH Open1400.91620OpenAlexW1965379918MaRDI QIDQ1618329FDOQ1618329
Authors: Xiao-Tian Wang, Zhong-Feng Zhao, Xiao-Fen Fang 
Publication date: 13 November 2018
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2015.01.021
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Cites Work
- The pricing of options and corporate liabilities
- Introduction to Econophysics
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- Optimal delta-hedging under transactions costs
- Hedged Monte-Carlo: low variance derivative pricing with objective probabilities
- Discrete-time delta hedging and the Black-Scholes model with transaction costs
- Scaling and universality in economics: empirical results and theoretical interpretation
- Delta hedging strategies comparison
Cited In (9)
- Option pricing for stochastic volatility model with infinite activity Lévy jumps
- Risk preference, option pricing and portfolio hedging with proportional transaction costs
- Arbitrage with fractional Gaussian processes
- Option pricing under mixed hedging strategy in time-changed mixed fractional Brownian model
- Title not available (Why is that?)
- HEDGING STRATEGIES AND MINIMAL VARIANCE PORTFOLIOS FOR EUROPEAN AND EXOTIC OPTIONS IN A LÉVY MARKET
- A portfolio approach to risk reduction in discretely rebalanced option hedges
- Mathematical properties of American chooser options
- A general framework for hedging and speculating with options
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