Approximate hedging of options under jump-diffusion processes

DOI10.1142/S0219024915500247MaRDI QIDQ5265239zbMATH OpenFDO

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)

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)

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Cites work

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• OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS
• On Lévy processes, Malliavin calculus and market models with jumps
• Optimal investment in a Lévy market
• Option Pricing When Jump Risk Is Systematic¹
• Option hedging for semimartingales
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• The minimal entropy martingale measures for geometric Lévy processes
• The pricing of options and corporate liabilities
• Utility indifference valuation for jump risky assets

Cited in

(13)

• Dynamic complex hedging in additive markets
• scientific article; zbMATH DE number 1642347 (Why is no real title available?)
• scientific article; zbMATH DE number 5980856 (Why is no real title available?)
• Distribution of Discrete Time Delta-Hedging Error via a Recursive Relation
• Hedging cryptocurrency options
• Option Pricing For Jump Diffusions: Approximations and Their Interpretation
• Jumping hedges on the strength of the Mellin transform
• Dynamic hedging under jump diffusion with transaction costs
• Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes
• Stability of the European option value function under jump-diffusion process
• Calibration and hedging under jump diffusion
• Pricing and hedging contingent claims using variance and higher order moment swaps
• scientific article; zbMATH DE number 5227619 (Why is no real title available?)

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