Delta hedging in discrete time under stochastic interest rate
DOI10.1016/J.CAM.2013.06.022zbMATH Open1314.91232OpenAlexW2083683700MaRDI QIDQ2349604FDOQ2349604
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
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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)
Cites Work
- A theory of the term structure of interest rates
- An equilibrium characterization of the term structure
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Evaluating discrete dynamic strategies in affine models
- Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
- Term-structure models. A graduate course
- Variance-optimal hedging for processes with stationary independent increments
- Measuring the error of dynamic hedging: a Laplace transform approach
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
- Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate
- Convergence and optimality of BS-type discrete hedging strategy under stochastic interest rate
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