Robustness of the Black and Scholes Formula
From MaRDI portal
Publication:4213035
Recommendations
- Misspecified asset price models and robust hedging strategies
- Optimal hedging strategies for misspecified asset price models
- scientific article; zbMATH DE number 953303
- Volatility in options formulae for general stochastic dynamics
- Robustness of the Black-Scholes approach in the case of options on several assets
Cited in
(only showing first 100 items - show all)- A simple model for option pricing with jumping stochastic volatility
- Bubbles, convexity and the Black-Scholes equation
- On the form and risk-sensitivity of zero coupon bonds for a class of interest rate models
- On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems
- The weighted reverse Poincaré-type estimates for the difference of two convex vectors
- Uncertain volatility and the risk-free synthesis of derivatives
- Efficient discretization of stochastic integrals
- Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance
- Risk Measures and Robust Optimization Problems
- Calibration of a nonlinear feedback option pricing model
- Exact volatility calibration based on a Dupire-type call-put duality for perpetual American options
- Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions
- Wicksellian theory of forest rotation under interest rate variability
- Convex comparison inequalities for non-Markovian stochastic integrals
- Riding on the smiles
- Convexity preserving jump-diffusion models for option pricing
- Convex ordering criteria for Lévy processes
- Model risk of contingent claims
- On the optimal design of insurance contracts with guarantees
- A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
- Properties of American option prices
- The weighted square integral inequalities for the first derivative of the function of a real variable
- Financial options and statistical prediction intervals
- Asymptotic replication with modified volatility under small transaction costs
- Robust option pricing: Hannan and Blackwell meet Black and Scholes
- Comparison of semimartingales and Lévy processes
- Pathwise no-arbitrage in a class of delta hedging strategies
- Adapted Wasserstein distances and stability in mathematical finance
- Volatility misspecification, option pricing and superreplication via coupling
- Exact Superreplication Strategies for a Class of Derivative Assets
- CRITICAL PRICE NEAR MATURITY FOR AN AMERICAN OPTION ON A DIVIDEND‐PAYING STOCK IN A LOCAL VOLATILITY MODEL
- Wasserstein distance estimates for stochastic integrals by forward-backward stochastic calculus
- MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
- A class of solvable singular stochastic control problems
- OPTIONS WRITTEN ON STOCKS WITH KNOWN DIVIDENDS
- The American foreign exchange option in time-dependent one-dimensional diffusion model for exchange rate
- When terminal facelift enforces delta constraints
- Liquidity and credit risk
- Robustness of the Black-Scholes approach in the case of options on several assets
- Sharp Upper and Lower Bounds for Basket Options
- MONOTONICITY AND CONVEXITY OF OPTION PRICES REVISITED
- EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
- Probabilistic aspects of finance
- Comparison of option prices in semimartingale models
- Skewness premium with Lévy processes
- Black-Scholes representation for Asian options
- Adoption of uncertain multi-stage technology projects: a real options approach
- Volatility time and properties of option prices
- Misspecified asset price models and robust hedging strategies
- Optimal hedging strategies for misspecified asset price models
- Tractable hedging: An implementation of robust hedging strategies
- Effectiveness of CPPI strategies under discrete-time trading
- Sensitivity analysis of the optimal exercise boundary of the American put option
- Optimal exercise of an executive stock option by an insider
- Tractable hedging with additional hedge instruments
- The mean comparison theorem cannot be extended to the Poisson case
- Financial markets with volatility uncertainty
- Stability of utility-maximization in incomplete markets
- Kriging of financial term-structures
- Hedging with small uncertainty aversion
- Optimal arbitrage under model uncertainty
- Bounds on option prices in point process diffusion models
- Optimal investment and price dependence in a semi-static market
- Shape-preserving properties and asymptotic behaviour of the semigroup generated by the Black-Scholes operator
- Conservative delta hedging.
- Superreplication of Options on Several Underlying Assets
- The tracking error rate of the delta-gamma hedging strategy
- Comparison results for stochastic volatility models via coupling
- Good deal hedging and valuation under combined uncertainty about drift and volatility
- Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
- General properties of solutions to inhomogeneous Black-Scholes equations with discontinuous maturity payoffs
- Convexity theory for the term structure equation
- On the value of optimal stopping games
- Large deviations for non-Markovian diffusions and a path-dependent eikonal equation
- Hedging error estimate of the American put option problem in jump-diffusion processes
- Option pricing in sandwiched Volterra volatility model
- Convex order for path-dependent derivatives: a dynamic programming approach
- It only takes a few moments to hedge options
- Convergence of At-The-Money Implied Volatilities to the Spot Volatility
- On the perpetual American put options for level dependent volatility models with jumps
- Robustness of Delta Hedging in a Jump-Diffusion Model
- Coupling smiles
- \( G\)-expectation approach to stochastic ordering
- PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS
- The shape of the value function under Poisson optimal stopping
- European options sensitivity with respect to the correlation for multidimensional Heston models
- Consumption-investment problem with pathwise ambiguity under logarithmic utility
- Combining statistical intervals and market prices: the worst case state price distribution
- A note on convex ordering for stable stochastic integrals
- A novel portfolio optimization method and its application to the hedging problem
- Executive stock option exercise with full and partial information on a drift change point
- Stochastic ordering by \(g\)-expectations
- Maturity randomization for stochastic control problems
- FROM THE IMPLIED VOLATILITY SKEW TO A ROBUST CORRECTION TO BLACK-SCHOLES AMERICAN OPTION PRICES
- Pricing equations in jump-to-default models
- Some short elements on hedging credit derivatives
- Option pricing models without probability: a rough paths approach
- Delta-hedging vega risk?
- Multi-dimensional sequential testing and detection
- The fundamental theorem of derivative trading -- exposition, extensions and experiments
This page was built for publication: Robustness of the Black and Scholes Formula
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4213035)
