PRICING ILLIQUID OPTIONS WITH N + 1 LIQUID PROXIES USING MIXED DYNAMIC-STATIC HEDGING

DOI10.1142/S0219024913500337zbMath1295.91087arXiv1209.3503OpenAlexW2964078720MaRDI QIDQ5746923

Andrey Itkin, Igor Halperin

Publication date: 11 February 2014

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

Full work available at URL: https://arxiv.org/abs/1209.3503

zbMATH Keywords

incomplete marketHJB equationoperator splitting methodindifference pricingdynamic/static hedgeilliquid option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk

Cites Work

• Spectral estimation for locally stationary time series with missing observations
• An example of indifference prices under exponential preferences
• Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
• Analysis of operator splitting for advection-diffusion-reaction problems from air pollution modelling
• Neutral and Indifference Portfolio Pricing, Hedging and Investing
• OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS
• On a quasi-linear parabolic equation occurring in aerodynamics

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