Hedging variance options on continuous semimartingales

DOI10.1007/s00780-009-0110-3zbMath1224.91149OpenAlexW2155429742MaRDI QIDQ2430256

Yanyan Li

Publication date: 6 April 2011

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-009-0110-3

zbMATH Keywords

superreplicationcontinuous semimartingalevariance optionprice boundssubreplication

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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• Robust hedging of the lookback option
• The minimum maximum of a continuous martingale with given initial and terminal laws
• Pricing options on realized variance
• Local martingales, bubbles and option prices
• Robust Hedging of Barrier Options
• THE RANGE OF TRADED OPTION PRICES
• Quadratic-Variation-Based Dynamic Strategies
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• On the Decomposition of Continuous Submartingales
• ON CONTINUOUS MARTINGALES

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