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Conservative delta hedging
16 references·1 citing·28 second hop
Conservative delta hedging (2000)Conservative delta hedgingBrownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Theory of rational option pricing (2005)Theory of rational option pri…Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)Maximum Likelihood Estimation…Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…An Overview of Value at Risk (1997)An Overview of Value at RiskPricing and hedging derivative securities in markets with uncertain volatilities (1995)Pricing and hedging derivativ…ARCH modeling in finance (1992)ARCH modeling in financeHedging of contingent claims under incomplete information (1990)Hedging of contingent claims …The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Limit Theorems for Stochastic Processes (1987)Limit Theorems for Stochastic…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Calcul Stochastique et Problèmes de Martingales (1979)Calcul Stochastique et Problè…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Discretization error of stochastic integrals (2011)Discretization error of stoch…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)5 Stochastic volatility (1996)Range‐Based Estimation of Stochastic Volatility Models (2002)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)Modeling and Forecasting Realized Volatility (2001)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 2002Bayesian Analysis of Stochastic Volatility Models1,363 cited
  • 1997An Overview of Value at Risk1,320 cited
  • 1987Limit Theorems for Stochastic Processes1,319 cited
  • 1997Processes of normal inverse Gaussian type1,224 cited
  • 1979Calcul Stochastique et Problèmes de Martingales1,161 cited
  • 2002Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach902 cited
  • 1990Hedging of contingent claims under incomplete information736 cited
  • 1995Pricing and hedging derivative securities in markets with uncertain volatilities

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  • 2011Discretization error of stochastic integrals32 cited