SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Asymptotically Efficient Discrete Hedging
9 references·1 citing·42 second hop
Asymptotically Efficient Discrete Hedging (2011)Asymptotically Efficient Discrete HedgingAsymptotic analysis of hedging errors in models with jumps (2008)Asymptotic analysis of hedgin…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH (2005)EVALUATING HEDGING ERRORS: AN…Weighted BMO and discrete time hedging within the Black-Scholes model (2004)Weighted BMO and discrete tim…Quantitative approximation of certain stochastic integrals (2002)Quantitative approximation of…Discrete time hedging errors for options with irregular payoffs (2001)Discrete time hedging errors …When is time continuous? (2000)When is time continuous?On pathwise stochastic integration (1995)On pathwise stochastic integr…Limit Distributions for the Error in Approximations of Stochastic Integrals (1980)Limit Distributions for the E…Trading with small nonlinear price impact (2020)Trading with small nonlinear …Stochastic Analysis (1997)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Limit Theorems for Stochastic Processes (2003)Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces (2009)Asymptotically optimal discretization of hedging strategies with jumps (2014)Hedging With Linear Regressions and Neural Networks (2021)Stochastic Differential Equations and Applications (1976)Continuous Martingales and Brownian Motion (1999)Delta-hedging vega risk? (2004)L2 -time regularity of BSDEs with irregular terminal functions (2010)Brownian Motion and Stochastic Calculus (1988)Martingale Methods in Financial Modelling (1997)On approximation of a class of stochastic integrals and interpolation (2004)Martingale inequalities: seminar notes on recent progress (1973)Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times (1982)Continuous Exponential Martingales and BMO (1994)On an approximation problem for stochastic integrals where random time nets do not help (2005)Interpolation and approximation in L2(γ) (2006)Calcul Stochastique et Problèmes de Martingales (1979)Stochastic Integration and $L^p$-Theory of Semimartingales (1981)Quasi-sure Stochastic Analysis through Aggregation (2011)Wellposedness of second order backward SDEs (2011)Ambiguous volatility, possibility and utility in continuous time (2013)Stochastic Integration and Differential Equations : A New Approach (2014)Brownian Motion and Stochastic Calculus (1998)Methods of Mathematical Finance (1998)Effectiveness of CPPI strategies under discrete-time trading (2008)Capital Market Equilibrium with Transaction Costs (1986)Investing for the Long Run when Returns Are Predictable (2000)Optimal execution of portfolio transactions (2001)Optimal Investment with Transient Price Impact (2019)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Where Does State Street Lead? A First Look at Finance Patents, 1971 to 2000 (2002)Delta-Hedged Gains and the Negative Market Volatility Risk Premium (2003)The Econometrics of Option Pricing (2010)Modelling of extremal events in insurance and finance (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales (2005)Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach (2006)
this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,544 cited
  • 1995On pathwise stochastic integration177 cited
  • 2000When is time continuous?130 cited
  • 2005EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH85 cited
  • 1980Limit Distributions for the Error in Approximations of Stochastic Integrals76 cited
  • 2001Discrete time hedging errors for options with irregular payoffs72 cited
  • 2002Quantitative approximation of certain stochastic integrals53 cited
  • 2004Weighted BMO and discrete time hedging within the Black-Scholes model46 cited
  • 2008Asymptotic analysis of hedging errors in models with jumps41 cited

Cited by

  • 2020Trading with small nonlinear price impact17 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work