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Hedging with Stochastic Local Volatility · Study

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PreprintHedging with Stochastic Local Volatility

Carol Alexander2004

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Preprintgreen2004

Hedging with Stochastic Local Volatility

Carol Alexander · Leonardo M. Nogueira

26 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1987The Pricing of Options on Assets with Stochastic Volatilities 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1997Empirical Performance of Alternative Option Pricing Models 1978Prices of State-Contingent Claims Implicit in Option Prices 1994Implied Binomial Trees 2000Post-'87 crash fears in the S&P 500 futures option market

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2001VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEYarticle · 15 shared references 2001IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITYarticle · 13 shared references 2004Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effectsarticle · 13 shared references 2003Alternative asset-price dynamics and volatility smilearticle · 13 shared references 2004Delta-hedging vega risk?article · 12 shared references 2008Stochastic Local Volatilitypreprint · 12 shared references

Details

Year2004

Typepreprint

Published2004-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations26

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.569083

openalex_workW1768302345

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