APPROXIMATING OPTION PRICES UNDER LARGE CHANGES OF UNDERLYING ASSET PRICES

DOI10.1142/S0219024923500048MaRDI QIDQ5889366zbMATH OpenOpenAlexFDO

Authors Yves Rakotondratsimba

Publication date 20 April 2023

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

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

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)

Recommendations

• On the convergence of higher order hedging schemes: the delta-gamma case
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Cites work

• Locally-weighted regression: an approach to regression analysis by local fitting
• Mathematical modeling and computation in finance. With exercises and Python and MATLAB computer codes
• Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM
• Robust Locally Weighted Regression and Smoothing Scatterplots
• The practice of Delta--Gamma VaR: Implementing the quadratic portfolio model.

Cited in

(6)

• scientific article; zbMATH DE number 5283783 (Why is no real title available?)
• scientific article; zbMATH DE number 2159230 (Why is no real title available?)
• Risk adjustments of option prices under time-changed dynamics
• Option pricing for a large trader with price impact and liquidity costs
• Option pricing for large agents
• scientific article; zbMATH DE number 7673130 (Why is no real title available?)

Describes a project that uses

Uses Software

• fda (R)

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