Tractable hedging with additional hedge instruments

DOI10.1007/S11147-010-9056-ZMaRDI QIDQ539149zbMATH OpenOpenAlexFDO

Authors Nicole Branger, Antje Mahayni

Publication date 27 May 2011

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11147-010-9056-z

zbMATH Keywords

stochastic volatilityuncertain volatility modelcoherent risk measurerobust hedgingadditional hedge instrumenttractable hedging

Mathematics Subject Classification ID

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

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A new approach for option pricing under stochastic volatility
• Coherent measures of risk
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions
• Exact Superreplication Strategies for a Class of Derivative Assets
• MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES
• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
• Model misspecification analysis for bond options and Markovian hedging strategies
• Option pricing when underlying stock returns are discontinuous
• Robustness of the Black and Scholes Formula
• The relaxed investor and parameter uncertainty
• Tighter option bounds from multiple exercise prices
• Tractable hedging: An implementation of robust hedging strategies
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Two-dimensional risk-neutral valuation relationships for the pricing of options
• Volatility misspecification, option pricing and superreplication via coupling
• When is time continuous?

Cited in

(1)

• Tractable hedging: An implementation of robust hedging strategies

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