PRICING ILLIQUID OPTIONS WITH N + 1 LIQUID PROXIES USING MIXED DYNAMIC-STATIC HEDGING
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Publication:5746923
DOI10.1142/S0219024913500337zbMath1295.91087arXiv1209.3503OpenAlexW2964078720MaRDI QIDQ5746923
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
incomplete marketHJB equationoperator splitting methodindifference pricingdynamic/static hedgeilliquid option
Related Items (1)
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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