Calibration and hedging under jump diffusion

DOI10.1007/S11147-006-9003-1zbMATH Open1274.91414OpenAlexW2112293901MaRDI QIDQ375525FDOQ375525

Authors C. He, J. S. Kennedy, Thomas F. Coleman, P. A. Forsyth, Yuying Li, K. R. Vetzal 

Publication date 31 October 2013

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11147-006-9003-1

zbMATH Keywords

calibrationjump-diffusiondynamic hedgingstatic hedging

Mathematics Subject Classification ID

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

Recommendations

• On the calibration of local jump-diffusion asset price models
• A PDE approach to jump-diffusions
• scientific article; zbMATH DE number 7155558
• Approximate hedging of options under jump-diffusion processes
• The calibration of volatility for option pricing models with jump diffusion processes

Cites work

• scientific article; zbMATH DE number 412098 (Why is no real title available?)
• scientific article; zbMATH DE number 45848 (Why is no real title available?)
• scientific article; zbMATH DE number 3551792 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A penalty method for American options with jump diffusion processes
• An Interior Trust Region Approach for Nonlinear Minimization Subject to Bounds
• Estimation of dependences based on empirical data. Transl. from the Russian by Samuel Kotz
• Financial Modelling with Jump Processes
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Option pricing when underlying stock returns are discontinuous
• Post-'87 crash fears in the S\&P 500 futures option market
• Reconstructing the unknown local volatility function
• Robust numerical methods for contingent claims under jump diffusion processes
• The pricing of options on assets with stochastic volatilities
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(31)

• The effect of modelling parameters on the value of GMWB guarantees
• Pricing and hedging contingent claims using variance and higher order moment swaps
• An improved Markov chain approximation methodology: derivatives pricing and model calibration
• Dynamic analysis of counterparty exposures and netting efficiency of central counterparty clearing
• Using the short-lived arbitrage model to compute minimum variance hedge ratios: application to indices, stocks and commodities
• Jumping hedges on the strength of the Mellin transform
• Approximate hedging of options under jump-diffusion processes
• Lookback option pricing for regime-switching jump diffusion models
• Bitcoin: jumps, convenience yields, and option prices
• A computational approach to hedging credit valuation adjustment in a jump-diffusion setting
• Hedging of options for jump-diffusion stochastic volatility models by Malliavin calculus
• HEDGING STRATEGIES AND MINIMAL VARIANCE PORTFOLIOS FOR EUROPEAN AND EXOTIC OPTIONS IN A LÉVY MARKET
• A splitting strategy for the calibration of jump-diffusion models
• Simulation of jump diffusions and the pricing of options
• The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives
• American-style options in jump-diffusion models: estimation and evaluation
• Learning minimum variance discrete hedging directly from the market
• Efficient pricing and hedging of high-dimensional American options using deep recurrent networks
• Estimation and prediction under local volatility jump-diffusion model
• Method of moments approach to pricing double barrier contracts in polynomial jump-diffusion models
• Calibration of a Jump-Diffusion Process Using Optimal Control
• Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions
• Efficient pricing and hedging under the double Heston stochastic volatility jump-diffusion model
• An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs
• Pricing and hedging of quantile options in a flexible jump diffusion model
• Calibrating a Diffusion Pricing Model with Uncertain Volatility: Regularization and Stability
• Stable local volatility function calibration using spline kernel
• Pricing and hedging defaultable participating contracts with regime switching and jump risk
• Continuously monitored barrier options under Markov processes
• A non-parametric calibration of the HJM geometry: An application of Itô calculus to financial statistics
• Hedging error estimate of the American put option problem in jump-diffusion processes

Describes a project that uses

Uses Software

• FITPACK

This page was built for publication: Calibration and hedging under jump diffusion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q375525)