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

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zbMATH Keywords

calibrationjump-diffusiondynamic hedgingstatic hedging

Mathematics Subject Classification ID

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

Cites Work

• Financial Modelling with Jump Processes
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Option pricing when underlying stock returns are discontinuous
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• 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
• Post-'87 crash fears in the S\&P 500 futures option market
• The pricing of options on assets with stochastic volatilities
• A penalty method for American options with jump diffusion processes
• Robust numerical methods for contingent claims under jump diffusion processes
• Reconstructing the unknown local volatility function

Cited In (29)

• 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
• Calibrating a Diffusion Pricing Model with Uncertain Volatility: Regularization and Stability
• Pricing and hedging defaultable participating contracts with regime switching and jump risk
• Stable local volatility function calibration using spline kernel
• Efficient pricing and hedging of high-dimensional American options using deep recurrent networks
• Pricing and hedging of quantile options in a flexible jump diffusion model
• American-style options in jump-diffusion models: estimation and evaluation
• Efficient pricing and hedging under the double Heston stochastic volatility jump-diffusion model
• A non-parametric calibration of the HJM geometry: An application of Itô calculus to financial statistics
• The effect of modelling parameters on the value of GMWB guarantees
• Jumping hedges on the strength of the Mellin transform
• Hedging error estimate of the american put option problem in jump-diffusion processes
• 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
• Lookback option pricing for regime-switching jump diffusion models
• Method of moments approach to pricing double barrier contracts in polynomial jump-diffusion models
• AN IMPROVED MARKOV CHAIN APPROXIMATION METHODOLOGY: DERIVATIVES PRICING AND MODEL CALIBRATION
• A computational approach to hedging credit valuation adjustment in a jump-diffusion setting
• An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs
• HEDGING STRATEGIES AND MINIMAL VARIANCE PORTFOLIOS FOR EUROPEAN AND EXOTIC OPTIONS IN A LÉVY MARKET
• The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives
• Learning minimum variance discrete hedging directly from the market
• APPROXIMATE HEDGING OF OPTIONS UNDER JUMP-DIFFUSION PROCESSES
• Bitcoin: jumps, convenience yields, and option prices
• Estimation and prediction under local volatility jump-diffusion model
• Continuously monitored barrier options under Markov processes
• Simulation of jump diffusions and the pricing of options
• Pricing and hedging contingent claims using variance and higher order moment swaps

Uses Software

• FITPACK

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