Option pricing and portfolio hedging under the mixed hedging strategy

DOI10.1016/J.PHYSA.2015.01.021MaRDI QIDQ1618329zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

option pricingscalingresidual riskmixed hedging strategyportfolio hedgingtrade frequency

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 2133811 (Why is no real title available?)
• scientific article; zbMATH DE number 1091847 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Delta hedging strategies comparison
• Discrete-time delta hedging and the Black-Scholes model with transaction costs
• Hedged Monte-Carlo: low variance derivative pricing with objective probabilities
• Introduction to Econophysics
• Optimal delta-hedging under transactions costs
• Scaling and universality in economics: empirical results and theoretical interpretation
• The pricing of options and corporate liabilities

Cited in

(9)

• scientific article; zbMATH DE number 5504674 (Why is no real title available?)
• A portfolio approach to risk reduction in discretely rebalanced option hedges
• A general framework for hedging and speculating with options
• HEDGING STRATEGIES AND MINIMAL VARIANCE PORTFOLIOS FOR EUROPEAN AND EXOTIC OPTIONS IN A LÉVY MARKET
• Option pricing for stochastic volatility model with infinite activity Lévy jumps
• Arbitrage with fractional Gaussian processes
• Mathematical properties of American chooser options
• Option pricing under mixed hedging strategy in time-changed mixed fractional Brownian model
• Risk preference, option pricing and portfolio hedging with proportional transaction costs

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