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Measuring the error of dynamic hedging: a Laplace transform approach
16 references·2 citing·38 second hop
Measuring the error of dynamic hedging: a Laplace transform approach (2009)Measuring the error of dynamic hedging: a…A Guided Tour through Quadratic Hedging Approaches (2010)A Guided Tour through Quadrat…Asymptotic analysis of hedging errors in models with jumps (2008)Asymptotic analysis of hedgin…Variance-optimal hedging for processes with stationary independent increments (2006)Variance-optimal hedging for …EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH (2005)EVALUATING HEDGING ERRORS: AN…Pricing of Occupation Time Derivatives: Continuous and Discrete Monitoring (2001)Pricing of Occupation Time De…Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach (2001)Hedging Derivative Securities…Discrete time hedging errors for options with irregular payoffs (2001)Discrete time hedging errors …Local Risk-Minimization Under Transaction Costs (1998)Local Risk-Minimization Under…On Leland's strategy of option pricing with transactions costs (1997)On Leland's strategy of optio…On the Mean-Variance Tradeoff in Option Replication with Transactions Costs (1996)On the Mean-Variance Tradeoff…Variance-Optimal Hedging in Discrete Time (1995)Variance-Optimal Hedging in D…On Quadratic Cost Criteria for Option Hedging (1994)On Quadratic Cost Criteria fo…Multidimensional Transform Inversion with Applications to the Transient M/G/1 Queue (1994)Multidimensional Transform In…Option Pricing and Replication with Transactions Costs (1985)Option Pricing and Replicatio…Hedging of non-redundant contingent claims (1985)Hedging of non-redundant cont…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Learning minimum variance discrete hedging directly from the market (2018)Learning minimum variance dis…On the performance of delta hedging strategies in exponential Lévy models (2013)On the performance of delta h…The Pricing of Options and Corporate Liabilities (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Option valuation using the fast Fourier transform (1999)Limit Theorems for Stochastic Processes (2003)Hedging with Options in Models with Jumps (2007)Affine Diffusion Processes: Theory and Applications (2009)Pricing and Hedging in Exponential Lévy Models: Review of Recent Results (2010)An Intertemporal Capital Asset Pricing Model (1973)Can Hedge-Fund Returns Be Replicated?: The Linear Case (2006)Brownian Motion and Stochastic Calculus (2007)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Introduction to the Theory of Queues. (1963)Stochastic analysis of a single server retrial queue with general retrial times (1999)Optimal capital structure and endogenous default (2002)A General Framework for Pricing Asian Options Under Markov Processes (2015)Option pricing: A simplified approach (1979)Continuous-Time Finance. (1991)Optimal delta-hedging under transactions costs (1997)Volume, Volatility, Price, and Profit When All Traders Are Above Average (1998)Predictability in Hedge Fund Returns (corrected) (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Martingales and arbitrage in multiperiod securities markets (1979)Hedging of contingent claims under incomplete information (1990)072103 (E50, M20) Option pricing by Esscher transforms (1995)Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)Portfolio selection with transactions costs (1976)The Valuation of Uncertain Income Streams and the Pricing of Options (1976)Portfolio Selection with Transaction Costs (1990)An Engine, Not a Camera (2006)Backward Stochastic Differential Equations in Finance (1997)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)
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References

  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1985Option Pricing and Replication with Transactions Costs916 cited
  • 2010A Guided Tour through Quadratic Hedging Approaches490 cited
  • 1985Hedging of non-redundant contingent claims460 cited
  • 1995Variance-Optimal Hedging in Discrete Time332 cited
  • 1994On Quadratic Cost Criteria for Option Hedging164 cited
  • 2001Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach144 cited
  • 1994Multidimensional Transform Inversion with Applications to the Transient M/G/1 Queue138 cited
  • 2006Variance-optimal hedging for processes with stationary independent increments128 cited
  • 1996On the Mean-Variance Tradeoff in Option Replication with Transactions Costs122 cited
  • 1997On Leland's strategy of option pricing with transactions costs96 cited
  • 2005EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH85 cited
  • 2001Discrete time hedging errors for options with irregular payoffs72 cited
  • 1998Local Risk-Minimization Under Transaction Costs45 cited
  • 2008Asymptotic analysis of hedging errors in models with jumps41 cited

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  • 2001Pricing of Occupation Time Derivatives: Continuous and Discrete Monitoring28 cited
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    • 2018Learning minimum variance discrete hedging directly from the market18 cited
    • 2013On the performance of delta hedging strategies in exponential Lévy models16 cited