Optimal weak static hedging of equity and credit risk using derivatives

DOI10.1080/13504860903075522zbMATH Open1229.91331OpenAlexW2039167921MaRDI QIDQ3565097FDOQ3565097

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

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zbMATH Keywords

calibrationstochastic volatilityconvertible bondstatic hedgingminimum variance hedgingdisplaced diffusion

Mathematics Subject Classification ID

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

Cites Work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Static hedging of multivariate derivatives by simulation
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Title not available (Why is that?)
• Robust hedging of barrier options.
• Title not available (Why is that?)
• Title not available (Why is that?)
• Stability of ADI schemes applied to convection--diffusion equations with mixed derivative terms
• Arbitrage pricing of defaultable game options with applications to convertible bonds
• Residual risks and hedging strategies in Markovian markets
• Hedging Index Options With Few Assets¹

Cited In (5)

• Weak convergence of equity derivatives pricing with default risk
• Title not available (Why is that?)
• Hedging derivatives on two assets with model risk
• STATIC HEDGING OF DEFAULTABLE CONTINGENT CLAIMS: A SIMPLE HEDGING SCHEME ACROSS EQUITY AND CREDIT MARKETS
• Partial Hedging for Equity-Linked Products Using Risk-Minimizing Strategies

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