WIENER CHAOS: A NEW APPROACH TO OPTION HEDGING
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Recommendations
- Dual pricing of American options by Wiener chaos expansion
- THE WIENER-HOPF TECHNIQUE AND DISCRETELY MONITORED PATH-DEPENDENT OPTION PRICING
- An extension of the chaos expansion approximation for the pricing of exotic basket options
- Efficient hedging of options with probabilistic Haar wavelets
- A new approach for option pricing under stochastic volatility
- Simulation of BSDEs by Wiener chaos expansion
- A theory of non‐Gaussian option pricing
- Hedging exotic derivatives through stochastic optimization
- Option pricing and hedging under stochastic Verhulst-Gompertz equation
Cites work
- Chaotic representation for finite markov chains
- European Option Pricing with Transaction Costs
- scientific article; zbMATH DE number 1869272 (Why is no real title available?)
- Martingales and arbitrage in multiperiod securities markets
- Optimal delta-hedging under transactions costs
- Spectral Type of the Shift Transformation of Differential Processes With Stationary Increments
- The Homogeneous Chaos
- The pricing of options and corporate liabilities
Cited in
(9)- Chaos expansion for the solutions of stochastic differential equations
- Approximating payoffs and pricing formulas
- Replicating portfolio approach to capital calculation
- Efficient hedging of options with probabilistic Haar wavelets
- Estimating residual hedging risk with least-squares Monte Carlo
- scientific article; zbMATH DE number 417268 (Why is no real title available?)
- UNDERSTANDING BID-ASK SPREADS OF DERIVATIVES UNDER UNCERTAIN VOLATILITY AND TRANSACTION COSTS
- The explicit chaotic representation of the powers of increments of Lévy processes
- Hedging using simulation: a least squares approach
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