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Numerical Comparison of Local Risk-Minimisation and Mean-Variance Hedging
7 references·6 citing·33 second hop
Numerical Comparison of Local Risk-Minimisation and Mean-Variance Hedging (2010)Numerical Comparison of Local Risk-Minimi…A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets (2001)A Comparison of Two Quadratic…Martingales versus PDEs in finance: an equivalence result with examples (2000)Martingales versus PDEs in fi…On the minimal martingale measure and the möllmer-schweizer decomposition (1995)On the minimal martingale mea…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Stock Price Distributions wit…Option hedging for semimartingales (1991)Option hedging for semimartin…Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …Learning minimum variance discrete hedging directly from the market (2018)Learning minimum variance dis…Assessing the effectiveness of local and global quadratic hedging under GARCH models (2017)Assessing the effectiveness o…Joint risk-neutral laws and hedging (2011)Joint risk-neutral laws and h…A Guided Tour through Quadratic Hedging Approaches (2010)A Guided Tour through Quadrat…Discrete hedging under piecewise linear risk minimization (2003)Discrete hedging under piecew…A variance reduction technique based on integral representations (2002)A variance reduction techniqu…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)Stochastic Differential Equations and Diffusion Processes (1983)A Jump-Diffusion Model for Option Pricing (2002)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)“Options, Futures, and Other Derivatives” (2016)Calcul Stochastique et Problèmes de Martingales (1979)A general version of the fundamental theorem of asset pricing (1994)Stochastic Processes for Insurance & Finance (1999)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2006)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)Modelling long-range-dependent Gaussian processes with application in continuous-time financial models (2004)Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes (2006)Brownian Motion and Stochastic Calculus (2007)Numerical solution of stochastic differential equations (2016)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)On Quadratic Cost Criteria for Option Hedging (1994)Variance-Optimal Hedging in Discrete Time (1995)A moment computation algorithm for the error in discrete dynamic hedging (2005)Martingales and arbitrage in multiperiod securities markets (1979)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Hedging guarantees in variable annuities under both equity and interest rate risks (2006)Backward Stochastic Differential Equations in Finance (1997)
this work references cited by second hop

References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
  • 1990Hedging of contingent claims under incomplete information736 cited
  • 1991Option hedging for semimartingales379 cited
  • 1995On the minimal martingale measure and the möllmer-schweizer decomposition321 cited
  • 2001A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets132 cited
  • 2000Martingales versus PDEs in finance: an equivalence result with examples125 cited

Cited by

  • 2010A Guided Tour through Quadratic Hedging Approaches490 cited
  • 2002A variance reduction technique based on integral representations26 cited
  • 2003Discrete hedging under piecewise linear risk minimization19 cited
  • 2018Learning minimum variance discrete hedging directly from the market18 cited
  • 2017Assessing the effectiveness of local and global quadratic hedging under GARCH models18 cited
  • 2011Joint risk-neutral laws and hedging15 cited

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