Adapted hedging

DOI10.1007/S10436-016-0282-8zbMATH Open1398.91608OpenAlexW3190927293MaRDI QIDQ2397784FDOQ2397784

Authors: 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

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zbMATH Keywords

non-additive probabilityfat tailsbid pricesdynamic volatility indices

Mathematics Subject Classification ID

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

Cites Work

• The pricing of options and corporate liabilities
• Coherent measures of risk
• A guided tour through quadratic hedging approaches
• Title not available (Why is that?)
• Title not available (Why is that?)
• A new fusion procedure for the Brauer algebra and evaluation homomorphisms.
• Markets as a counterparty: an introduction to conic finance
• Making Markov martingales meet marginals: With explicit constructions
• SELF-DECOMPOSABILITY AND OPTION PRICING
• Asset pricing theory for two price economies
• A two price theory of financial equilibrium with risk management implications
• Delta-hedging vega risk?
• Conic portfolio theory

Cited In (2)

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

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