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Variance-optimal hedging for processes with stationary independent increments
16 references·13 citing·32 second hop
Variance-optimal hedging for processes with stationary independent increments (2006)Variance-optimal hedging for processes wi…A Guided Tour through Quadratic Hedging Approaches (2010)A Guided Tour through Quadrat…Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …Option valuation using the fast Fourier transform (1999)Option valuation using the fa…The Variance Gamma Process and Option Pricing (1998)The Variance Gamma Process an…New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)New Insights into Smile, Misp…Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…Hyperbolic Distributions in Finance (1995)Hyperbolic Distributions in F…Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)Dynamic Programming and Prici…Convex Duality in Constrained Portfolio Optimization (1992)Convex Duality in Constrained…Martingale and Duality Methods for Utility Maximization in an Incomplete Market (1991)Martingale and Duality Method…Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case (1991)Consumption and portfolio pol…The Variance Gamma (V.G.) Model for Share Market Returns (1990)The Variance Gamma (V.G.) 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this work references cited by second hop

References

  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2003Limit Theorems for Stochastic Processes2,529 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 1998The Variance Gamma Process and Option Pricing1,786 cited
  • 1990The Variance Gamma (V.G.) Model for Share Market Returns1,470 cited
  • 1997Processes of normal inverse Gaussian type1,224 cited
  • 1979Calcul Stochastique et Problèmes de Martingales1,161 cited
  • 1995Hyperbolic Distributions in Finance959 cited
  • 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets948 cited
  • 1991Martingale and Duality Methods for Utility Maximization in an Incomplete Market797 cited
  • 1995Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market649 cited
  • 1992Convex Duality in Constrained Portfolio Optimization628 cited
  • 2010A Guided Tour through Quadratic Hedging Approaches490 cited
  • 1985Hedging of non-redundant contingent claims459 cited
  • 1998New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model449 cited

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1991
Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
436 cited

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  • 2010Pricing and Hedging in Exponential Lévy Models: Review of Recent Results100 cited
  • 2007Hedging with Options in Models with Jumps96 cited
  • 2009Affine Diffusion Processes: Theory and Applications71 cited
  • 2008MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION48 cited
  • 2016The Valuation of Power Exchange Options with Counterparty Risk and Jump Risk45 cited
  • 2012FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS41 cited
  • 2008Asymptotic analysis of hedging errors in models with jumps41 cited
  • 2012THE AFFINE LIBOR MODELS39 cited
  • 2006VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM‐STRUCTURE MODELS36 cited
  • 2013Fourier-Based Valuation Methods in Mathematical Finance36 cited
  • 2009Affine diffusion processes: theory and applications33 cited
  • 2020Non-parametric Pricing and Hedging of Exotic Derivatives32 cited
  • 2016Geometric Asian option pricing in general affine stochastic volatility models with jumps30 cited