Tractable hedging with additional hedge instruments
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Publication:539149
DOI10.1007/S11147-010-9056-ZzbMATH Open1213.91148OpenAlexW2029176597MaRDI QIDQ539149FDOQ539149
Publication date: 27 May 2011
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11147-010-9056-z
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stochastic volatilityuncertain volatility modelcoherent risk measurerobust hedgingadditional hedge instrumenttractable hedging
Cites Work
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Coherent measures of risk
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Option pricing when underlying stock returns are discontinuous
- Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
- DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1
- Robustness of the Black and Scholes Formula
- MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES
- Volatility misspecification, option pricing and superreplication via coupling
- A new approach for option pricing under stochastic volatility
- The relaxed investor and parameter uncertainty
- Tighter option bounds from multiple exercise prices
- When is time continuous?
- Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
- Model misspecification analysis for bond options and Markovian hedging strategies
- Two-dimensional risk-neutral valuation relationships for the pricing of options
- Exact Superreplication Strategies for a Class of Derivative Assets
- Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions
- Tractable hedging: An implementation of robust hedging strategies
Cited In (1)
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