Hedging at-the-money digital options near maturity

DOI10.1007/S11009-023-10013-6MaRDI QIDQ6164847FDOQ6164847

Authors: Augusto Blanc-Blocquel, Luis Ortiz-Gracia, Rodolfo Oviedo 

Publication date: 4 July 2023

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

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zbMATH Keywords

Black-ScholeshedgingCGMY modelHeston modeldigital optionshort maturitybull call spreadat-the-money

Mathematics Subject Classification ID

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

Cites Work

• The pricing of options and corporate liabilities
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Title not available (Why is that?)
• A novel pricing method for European options based on Fourier-cosine series expansions
• Lévy Processes and Stochastic Calculus
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• A class of globally convergent optimization methods based on conservative convex separable approximations
• Optimal static-dynamic hedges for exotic options under convex risk measures
• Static versus dynamic hedges: an empirical comparison for barrier options
• Exploding hedging errors for digital options
• THE BEST HEDGING STRATEGY IN THE PRESENCE OF TRANSACTION COSTS
• Static hedging under maturity mismatch

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