Hedging options in the incomplete market with stochastic volatility

DOI10.4310/SII.2009.V2.N4.A8MaRDI QIDQ440150zbMATH OpenFDO

Authors Rituparna Sen

Publication date 18 August 2012

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

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)

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Cited in

(8)

• scientific article; zbMATH DE number 5504674 (Why is no real title available?)
• Option pricing and hedging in incomplete market driven by normal tempered stable process with stochastic volatility
• Hedging of Options with a Given Probability
• On the monotonicity and constancy of signs of some rational explicit methods for nonlinear systems of ordinary differential equations
• Option Pricing Under Incompleteness and Stochastic Volatility
• Option pricing under residual risk and imperfect hedging
• scientific article; zbMATH DE number 1897426 (Why is no real title available?)
• Study on option pricing in an incomplete market with stochastic volatility based on risk premium analysis

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