It only takes a few moments to hedge options

DOI10.1016/J.JEDC.2018.11.008MaRDI QIDQ1734554zbMATH OpenOpenAlexWikidataFDO

Authors Andrea Barletta, Paolo Santucci de Magistris, David Sloth

Publication date 27 March 2019

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://pure.au.dk/ws/files/191935416/It_Only_Takes_a_Few_Moments_to_Hedge_Options_accept.manu_2019.pdf

zbMATH Keywords

hedgingoption Greeksrisk-neutral momentsvariance-swap

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• Delta-hedging vega risk?
• Density approximations for multivariate affine jump-diffusion processes
• Dynamics of implied volatility surfaces
• Estimating the persistence and the autocorrelation function of a time series that is measured with error
• Financial modeling under non-Gaussian distributions.
• Gram-Charlier densities.
• Hedging efficiently under correlation
• Hedging options under transaction costs and stochastic volatility
• Hedging using simulation: a least squares approach
• Hermite polynomial based expansion of European option prices
• scientific article; zbMATH DE number 1253577 (Why is no real title available?)
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Maximum-likelihood estimation for diffusion processes via closed-form density expansions
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• Moment explosions in stochastic volatility models
• Pricing and hedging long-term options
• Quadratic hedging schemes for non-Gaussian GARCH models
• Robustness of the Black and Scholes Formula
• The dynamics of implied volatilities: a common principal components approach
• The minimum variance hedge ratio under stochastic interest rates
• The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
• Tractable hedging: An implementation of robust hedging strategies
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(3)

• First jump time in simulation of sampling trajectories of affine jump-diffusions driven by \(\alpha\)-stable white noise
• Hedging European derivatives with the polynomial variance swap under uncertain volatility environments
• HEDGING VOLATILITY RISK: THE EFFECTIVENESS OF VOLATILITY OPTIONS

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