Risk minimization in stochastic volatility models: model risk and empirical performance
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Publication:3182745
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
- Backward Stochastic Differential Equations in Finance
- Contingent claims and market completeness in a stochastic volatility model.
- MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
- Model-free price hedge ratios for homogeneous claims on tradable assets
- Option hedging for semimartingales
- SELF-DECOMPOSABILITY AND OPTION PRICING
- Sato processes and the valuation of structured products
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
- Understanding delta-hedged option returns in stochastic volatility environments
- A hybrid data cloning maximum likelihood estimator for stochastic volatility models
- Hedging cryptocurrency options
- Risk Minimization for a Filtering Micromovement Model of Asset Price
- Risk minimization in financial markets modeled by Itô-Lévy processes
- ANALYTIC CALCULATION OF EUROPEAN OPTION PRICING IN STOCHASTIC VOLATILITY ASSET MODEL
- 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
- Stochastic models for risk estimation in volatile markets: a survey
- Rational hedging with a diversity of implied volatilities
- A discrete-time hedging framework with multiple factors and fat tails: on what matters
- Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees
- Learning minimum variance discrete hedging directly from the market
- Quadratic hedging schemes for non-Gaussian GARCH models
- An empirical comparison of two stochastic volatility models using Indian market data
- Empirical performance of models for barrier option valuation
- 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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