Delta-hedging vega risk?
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Publication:4610265
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A market model for stochastic implied volatility
- A theory of the term structure of interest rates
- An equilibrium characterization of the term structure
- Asymptotics and calibration of local volatility models
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Calibrating volatility surfaces via relative-entropy minimization
- Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
- Calibration of the local volatility in a trinomial tree using Tikhonov regularization
- Discrete time hedging errors for options with irregular payoffs
- Dynamics of implied volatility surfaces
- scientific article; zbMATH DE number 1517499 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- scientific article; zbMATH DE number 1440968 (Why is no real title available?)
- IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY
- Post-'87 crash fears in the S\&P 500 futures option market
- Robustness of the Black and Scholes Formula
- Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
- The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes
- The Market Model of Interest Rate Dynamics
- The pricing of options and corporate liabilities
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- When is time continuous?
Cited in
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- VIX derivatives, hedging and vol-of-vol risk
- Asymptotic expansion for some local volatility models arising in finance
- Adapted hedging
- Model uncertainty, recalibration, and the emergence of delta-vega hedging
- Can expected shortfall and Value-at-Risk be used to statically hedge options?
- Learning minimum variance discrete hedging directly from the market
- Hedging efficiently under correlation
- Longevity Greeks: what do insurers and capital market investors need to know?
- Deep hedging
- Delta hedging bitcoin options with a smile
- Hedging With Linear Regressions and Neural Networks
- Rational hedging with a diversity of implied volatilities
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