Model-free price hedge ratios for homogeneous claims on tradable assets
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Publication:5433092
DOI10.1080/14697680601101700zbMath1151.91472OpenAlexW2125112959MaRDI QIDQ5433092
Leonardo M. Nogueira, Carol Alexander
Publication date: 19 December 2007
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680601101700
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Risk minimization in stochastic volatility models: model risk and empirical performance ⋮ Delta hedging bitcoin options with a smile ⋮ On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model ⋮ Quadratic hedging schemes for non-Gaussian GARCH models
Cites Work
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- Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
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- Option pricing when underlying stock returns are discontinuous
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