Approximate hedging of options under jump-diffusion processes

DOI10.1142/S0219024915500247zbMATH Open1337.91107MaRDI QIDQ5265239FDOQ5265239

Authors: Karl Friedrich Mina, Gerald H. L. Cheang, Carl Chiarella 

Publication date: 23 July 2015

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

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zbMATH Keywords

incomplete marketsjump-diffusionhedge portfolios

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60)

Cites Work

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Cited In (9)

• Title not available (Why is that?)
• Title not available (Why is that?)
• Distribution of Discrete Time Delta-Hedging Error via a Recursive Relation
• Option Pricing For Jump Diffusions: Approximations and Their Interpretation
• Dynamic hedging under jump diffusion with transaction costs
• Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes
• Pricing and hedging contingent claims using variance and higher order moment swaps
• Title not available (Why is that?)
• Dynamic complex hedging in additive markets

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