Dynamic Hedging Under Jump Diffusion with Transaction Costs

DOI10.1287/OPRE.1080.0598zbMATH Open1233.91246OpenAlexW2155372443MaRDI QIDQ3100366FDOQ3100366

P. A. Forsyth, J. S. Kennedy, K. R. Vetzal

Publication date: 24 November 2011

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/25205069e10a15531d544d13820c1ea03ca9225e

zbMATH Keywords

option pricingtransaction costshedgingasset pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Cited In (19)

• A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs
• A new computational tool for analysing dynamic hedging under transaction costs
• Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions
• Data-driven hedging of stock index options via deep learning
• A general method for analysis and valuation of drawdown risk
• Regime switching in stochastic models of commodity prices: an application to an optimal tree harvesting problem
• Pricing and hedging in incomplete markets with model uncertainty
• Efficient pricing and hedging under the double Heston stochastic volatility jump-diffusion model
• The effect of modelling parameters on the value of GMWB guarantees
• Jumping hedges on the strength of the Mellin transform
• Hedging error estimate of the american put option problem in jump-diffusion processes
• MARKET PRICE OF TRADING LIQUIDITY RISK AND MARKET DEPTH
• Iterative methods for the solution of a singular control formulation of a GMWB pricing problem
• Pure jump models for pricing and hedging VIX derivatives
• Pricing dynamic guaranteed funds under the hyper-exponential jump-diffusion model
• A computational approach to hedging credit valuation adjustment in a jump-diffusion setting
• Exact simulation problems for jump-diffusions
• An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs
• Small transaction cost asymptotics and dynamic hedging

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