Hedging options in the incomplete market with stochastic volatility

DOI10.4310/SII.2009.V2.N4.A8zbMATH Open1245.91095MaRDI QIDQ440150FDOQ440150

Authors: Rituparna Sen 

Publication date: 18 August 2012

Published in: Statistics and Its Interface (Search for Journal in Brave)

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zbMATH Keywords

stock pricespath models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Central limit and other weak theorems (60F05) Martingales with continuous parameter (60G44)

Cited In (8)

• Option pricing and hedging in incomplete market driven by normal tempered stable process with stochastic volatility
• Title not available (Why is that?)
• Option Pricing Under Incompleteness and Stochastic Volatility
• On the monotonicity and constancy of signs of some rational explicit methods for nonlinear systems of ordinary differential equations
• Option pricing under residual risk and imperfect hedging
• Title not available (Why is that?)
• Study on option pricing in an incomplete market with stochastic volatility based on risk premium analysis
• Hedging of Options with a Given Probability

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