Adapted hedging

DOI10.1007/s10436-016-0282-8zbMath1398.91608OpenAlexW3190927293MaRDI QIDQ2397784

Dilip B. Madan

Publication date: 23 May 2017

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-016-0282-8

zbMATH Keywords

non-additive probabilityfat tailsbid pricesdynamic volatility indices

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Implied liquidity risk premia in option markets, Precise option pricing by the COS method -- how to choose the truncation range

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