Hedging error estimate of the American put option problem in jump-diffusion processes

DOI10.2298/FIL1808813HMaRDI QIDQ5024445zbMATH OpenWikidataFDO

Authors S. Hussain, S. Zeb, Muhammad Shoaib Saleem, Nasir Rehman

Publication date 31 January 2022

Published in Filomat (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2298/FIL1808813H

zbMATH Keywords

American optiondiscrete time hedgingjump diffusion process

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Jump processes on discrete state spaces (60J74) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

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• Asymptotically optimal discretization of hedging strategies with jumps
• Calibration and hedging under jump diffusion
• Contingent claims valuation when the security price is a combination of an Itō process and a random point process
• Discrete time hedging errors for options with irregular payoffs
• Discrete time hedging of the American option
• Dynamic hedging under jump diffusion with transaction costs
• Estimate for the discrete time hedging error of the American option on a dividend-paying stock
• EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
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• Robustness of the Black and Scholes Formula
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• Variational inequalities and the pricing of American options
• When is time continuous?

Cited in

(8)

• Asymptotic analysis of hedging errors in models with jumps
• Error estimates for binomial approximations of game put options
• Optimal hedging of American options in discrete time
• On the monitoring error of the supremum of a normal jump diffusion process
• Discrete time hedging of the American option
• Estimate for the discrete time hedging error of the American option on a dividend-paying stock
• Inexact arithmetic considerations for direct control and penalty methods: American options under jump diffusion
• A correction note to ``Discrete time hedging errors for options with irregular payoffs

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