Delta hedging in discrete time under stochastic interest rate

DOI10.1016/J.CAM.2013.06.022MaRDI QIDQ2349604zbMATH OpenOpenAlexFDO

Authors Flavio Angelini, Stefano Herzel

Publication date 17 June 2015

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2013.06.022

zbMATH Keywords

Laplace transformstochastic interest ratesincomplete marketscontingent claimDelta hedging

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral transforms (65R10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Evaluating discrete dynamic strategies in affine models
• Measuring the error of dynamic hedging: a Laplace transform approach
• Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
• Term-structure models. A graduate course
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Variance-optimal hedging for processes with stationary independent increments

Cited in

(7)

• Distribution of Discrete Time Delta-Hedging Error via a Recursive Relation
• A robust numerical simulation of a fractional Black-Scholes equation for pricing American options
• The analytical interface coupling of arbitrary-order fractional nonlinear hyperbolic scalar conservation laws
• A robust numerical solution to a time-fractional Black-Scholes equation
• Measuring the error of dynamic hedging: a Laplace transform approach
• Convergence and optimality of BS-type discrete hedging strategy under stochastic interest rate
• Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate

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