Dynamic hedging under jump diffusion with transaction costs
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Publication:3100366
DOI10.1287/OPRE.1080.0598zbMATH Open1233.91246OpenAlexW2155372443MaRDI QIDQ3100366FDOQ3100366
Authors: J. S. Kennedy, P. A. Forsyth, 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
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- Efficient pricing and hedging under the double Heston stochastic volatility jump-diffusion model
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- 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
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- A computational approach to hedging credit valuation adjustment in a jump-diffusion setting
- Exact simulation problems for jump-diffusions
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- Small transaction cost asymptotics and dynamic hedging
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