Stochastic moment problem and hedging of generalized Black-Scholes options

DOI10.1016/J.APNUM.2011.08.005MaRDI QIDQ651087zbMATH OpenOpenAlexFDO

Authors Jaya P. N. Bishwal

Publication date 8 December 2011

Published in Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.apnum.2011.08.005

zbMATH Keywords

approximationdiscrete time hedgingFisk-Stratonovich integralItô stochastic differential equation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical interpolation (65D05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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Cites work

• scientific article; zbMATH DE number 43057 (Why is no real title available?)
• scientific article; zbMATH DE number 45955 (Why is no real title available?)
• scientific article; zbMATH DE number 3304501 (Why is no real title available?)
• scientific article; zbMATH DE number 3383329 (Why is no real title available?)
• A New Representation for Stochastic Integrals and Equations
• A new estimating function for discretely sampled diffusions
• Discrete time hedging errors for options with irregular payoffs
• Is the approximation rate for European pay-offs in the Black-Scholes model always \(1/\sqrt n\)?
• On an approximation problem for stochastic integrals where random time nets do not help
• On approximation of a class of stochastic integrals and interpolation
• Quantitative approximation of certain stochastic integrals
• Weighted BMO and discrete time hedging within the Black-Scholes model

Cited in

(5)

• scientific article; zbMATH DE number 5504674 (Why is no real title available?)
• Weighted BMO and discrete time hedging within the Black-Scholes model
• Adaptive wavelet precise integration method for nonlinear Black-Scholes model based on variational iteration method
• Black-Scholes in a CEV random environment
• Optimal Momentum Hedging via Hypoelliptic Reduced Monge--Ampère PDE

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