Stochastic moment problem and hedging of generalized Black-Scholes options
DOI10.1016/J.APNUM.2011.08.005zbMATH Open1228.91074OpenAlexW2091824559MaRDI QIDQ651087FDOQ651087
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
Recommendations
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)
Cites Work
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- A New Representation for Stochastic Integrals and Equations
- Quantitative approximation of certain stochastic integrals
- On approximation of a class of stochastic integrals and interpolation
- Discrete time hedging errors for options with irregular payoffs
- On an approximation problem for stochastic integrals where random time nets do not help
- A new estimating function for discretely sampled diffusions
- Weighted BMO and discrete time hedging within the Black-Scholes model
- Is the approximation rate for European pay-offs in the Black-Scholes model always \(1/\sqrt n\)?
Cited In (5)
- Black-Scholes in a CEV random environment
- Title not available (Why is that?)
- 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
- Optimal Momentum Hedging via Hypoelliptic Reduced Monge--Ampère PDE
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