APPROXIMATING OPTION PRICES UNDER LARGE CHANGES OF UNDERLYING ASSET PRICES

DOI10.1142/S0219024923500048OpenAlexW4319661745MaRDI QIDQ5889366FDOQ5889366

Author name not available (Why is that?), Yves Rakotondratsimba

Publication date: 20 April 2023

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

Full work available at URL: https://doi.org/10.1142/s0219024923500048

zbMATH Keywords

optionsriskBlack-Scholesdelta-gamma

Mathematics Subject Classification ID

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

Cites Work

• Robust Locally Weighted Regression and Smoothing Scatterplots
• Locally Weighted Regression: An Approach to Regression Analysis by Local Fitting
• The practice of Delta--Gamma VaR: Implementing the quadratic portfolio model.
• Title not available (Why is that?)
• Mathematical Modeling and Computation in Finance

Cited In (6)

• Option pricing for large agents
• Option pricing for a large trader with price impact and liquidity costs
• Risk adjustments of option prices under time-changed dynamics
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)

Uses Software

• fda (R)

   Recommendations

• On the Convergence of Higher Order Hedging Schemes: The Delta-Gamma Case 👍 👎
• An approximate Malliavin weight for variance gamma process: sensitivity analysis of European style options 👍 👎
• KrigHedge: Gaussian Process Surrogates for Delta Hedging 👍 👎
• Asymptotic and non asymptotic approximations for option valuation 👍 👎
• Non-linear equity portfolio variance reduction under a mean-variance framework -- a delta-gamma approach 👍 👎

This page was built for publication: APPROXIMATING OPTION PRICES UNDER LARGE CHANGES OF UNDERLYING ASSET PRICES

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5889366)