Risk minimization in stochastic volatility models: model risk and empirical performance

DOI10.1080/14697680902852738zbMATH Open1188.91220OpenAlexW2144635872MaRDI QIDQ3182745FDOQ3182745

Authors: Klaus R. Schenk-Hoppé, Christian-Oliver Ewald, Rolf Poulsen 

Publication date: 16 October 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680902852738

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zbMATH Keywords

stochastic volatilitymodel riskempirical hedge performancelocally risk-minimizing delta hedge

Mathematics Subject Classification ID

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

Cites Work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Backward Stochastic Differential Equations in Finance
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• Option hedging for semimartingales
• Contingent claims and market completeness in a stochastic volatility model.
• SELF-DECOMPOSABILITY AND OPTION PRICING
• A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
• Sato processes and the valuation of structured products
• Model-free price hedge ratios for homogeneous claims on tradable assets

Cited In (27)

• Hedging under generalized good-deal bounds and model uncertainty
• A neural network approach to understanding implied volatility movements
• Hedging strategies for energy derivatives
• HEDGING VOLATILITY RISK: THE EFFECTIVENESS OF VOLATILITY OPTIONS
• Unit-linked life insurance policies: optimal hedging in partially observable market models
• Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates
• Hedging cryptocurrency options
• Understanding delta-hedged option returns in stochastic volatility environments
• A hybrid data cloning maximum likelihood estimator for stochastic volatility models
• Risk Minimization for a Filtering Micromovement Model of Asset Price
• ANALYTIC CALCULATION OF EUROPEAN OPTION PRICING IN STOCHASTIC VOLATILITY ASSET MODEL
• Risk minimization in financial markets modeled by Itô-Lévy processes
• An investigation of model risk in a market with jumps and stochastic volatility
• Hedging Option Books Using Neural-SDE Market Models
• The fundamental theorem of derivative trading -- exposition, extensions and experiments
• Asian and Australian options: a common perspective
• Rational hedging with a diversity of implied volatilities
• Stochastic models for risk estimation in volatile markets: a survey
• Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees
• A discrete-time hedging framework with multiple factors and fat tails: on what matters
• Learning minimum variance discrete hedging directly from the market
• Quadratic hedging schemes for non-Gaussian GARCH models
• Empirical performance of models for barrier option valuation
• An empirical comparison of two stochastic volatility models using Indian market data
• On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model
• Evaluating discrete dynamic strategies in affine models
• Pricing and hedging contingent claims using variance and higher order moment swaps

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