Quantification of Model Risk in Quadratic Hedging in Finance
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Publication:2801795
DOI10.1007/978-3-319-23425-0_8zbMath1390.91296OpenAlexW2229042000MaRDI QIDQ2801795
Michèle Vanmaele, Asma Khedher, Catherine Daveloose
Publication date: 22 April 2016
Published in: Stochastics of Environmental and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-23425-0_8
Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (1)
Cites Work
- Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
- Jump-adapted discretization schemes for Lévy-driven SDEs
- Actuarial bridges to dynamic hedging and option pricing
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- Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
- Backward Stochastic Differential Equations in Finance
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- A note on convergence of option prices and their Greeks for Lévy models
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