Optimal weak static hedging of equity and credit risk using derivatives

DOI10.1080/13504860903075522MaRDI QIDQ3565097zbMATH OpenOpenAlexFDO

Authors Dirk Becherer, Ian Ward

Publication date 27 May 2010

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/13504860903075522

zbMATH Keywords

calibrationstochastic volatilityconvertible bondstatic hedgingminimum variance hedgingdisplaced diffusion

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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Cites work

• scientific article; zbMATH DE number 942202 (Why is no real title available?)
• scientific article; zbMATH DE number 1869269 (Why is no real title available?)
• scientific article; zbMATH DE number 2107359 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Arbitrage pricing of defaultable game options with applications to convertible bonds
• Hedging Index Options With Few Assets¹
• Residual risks and hedging strategies in Markovian markets
• Robust hedging of barrier options.
• Stability of ADI schemes applied to convection--diffusion equations with mixed derivative terms
• Static hedging of multivariate derivatives by simulation
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(5)

• scientific article; zbMATH DE number 2133102 (Why is no real title available?)
• STATIC HEDGING OF DEFAULTABLE CONTINGENT CLAIMS: A SIMPLE HEDGING SCHEME ACROSS EQUITY AND CREDIT MARKETS
• Hedging derivatives on two assets with model risk
• Weak convergence of equity derivatives pricing with default risk
• Partial Hedging for Equity-Linked Products Using Risk-Minimizing Strategies

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