Simplified hedge for path-dependent derivatives

DOI10.1142/S021902491650045XMaRDI QIDQ2836214zbMATH OpenOpenAlexFDO

Authors Carole Bernard, Junsen Tang

Publication date 8 December 2016

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

Full work available at URL https://doi.org/10.1142/s021902491650045x

zbMATH Keywords

derivatives hedgingderivatives pricingpath-dependent derivativessemi-static replication

Mathematics Subject Classification ID

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

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Cites work

• A continuity correction for discrete barrier options
• A finite element approach to the pricing of discrete lookbacks with stochastic volatility
• A Fourier-based valuation method for Bermudan and barrier options under Heston's model
• Efficient options pricing using the fast Fourier transform
• On the maximum of the generalized Brownian bridge
• Optimality of payoffs in Lévy models
• Rationalizing investors' choices

Cited in

(4)

• A new efficiency test for ranking investments: application to hedge fund performance
• Efficient hedging of path-dependent options
• Optimal portfolio under state-dependent expected utility
• MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING

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