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A moment computation algorithm for the error in discrete dynamic hedging
16 references·0 citing·37 second hop
A moment computation algorithm for the error in discrete dynamic hedging (2005)A moment computation algorithm for the er…Paul Wilmott on Quantitative Finance (2006)Paul Wilmott on Quantitative …EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH (2005)EVALUATING HEDGING ERRORS: AN…Options, futures & other derivatives (2003)Options, futures & other deri…Discrete hedging under piecewise linear risk minimization (2003)Discrete hedging under piecew…Discrete time hedging errors for options with irregular payoffs (2001)Discrete time hedging errors …A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets (2001)A Comparison of Two Quadratic…On the Rate of Convergence of Discrete‐Time Contingent Claims (2000)On the Rate of Convergence of…Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model (1997)Pricing and Hedging Derivativ…Option pricing with hedging at fixed trading dates (1996)Option pricing with hedging a…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…Mean-Variance Hedging in Continuous Time (1991)Mean-Variance Hedging in Cont…Option Pricing and Replication with Transactions Costs (1985)Option Pricing and Replicatio…Discretely adjusted option hedges (1980)Discretely adjusted option he…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Theory of Rational Option Pricing (1973)Valuation of American call options on dividend-paying stocks (1982)ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)Theory of rational option pricing (2005)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)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Theory of the Term Structure of Interest Rates (1985)Theory of Financial Decision Making. (1988)Implied Binomial Trees (1994)Quadratic Convergence for Valuing American Options Using a Penalty Method (2002)A Monte Carlo Method for Optimal Portfolios (2003)Convergence remedies for non-smooth payoffs in option pricing (2003)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)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)Martingales and stochastic integrals in the theory of continuous trading (1981)Hedging of contingent claims under incomplete information (1990)Portfolio selection with transactions costs (1976)The Valuation of Uncertain Income Streams and the Pricing of Options (1976)Portfolio Selection with Transaction Costs (1990)Volume, Volatility, Price, and Profit When All Traders Are Above Average (1998)An Engine, Not a Camera (2006)Universal option valuation using quadrature methods (2003)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Hitting time distributions in financial markets (2007)Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis (2002)Risks and Portfolio Decisions Involving Hedge Funds (2003)Is Economics Performative? Option Theory and the Construction of Derivatives Markets (2006)072103 (E50, M20) Option pricing by Esscher transforms (1995)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1985Option Pricing and Replication with Transactions Costs916 cited
  • 2006Paul Wilmott on Quantitative Finance475 cited
  • 1991Mean-Variance Hedging in Continuous Time383 cited
  • 2003Options, futures & other derivatives367 cited
  • 1995Variance-Optimal Hedging in Discrete Time332 cited
  • 1980Discretely adjusted option hedges194 cited
  • 1994On Quadratic Cost Criteria for Option Hedging164 cited
  • 2000On the Rate of Convergence of Discrete‐Time Contingent Claims163 cited
  • 2001A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets132 cited
  • 2005EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH85 cited
  • 2001Discrete time hedging errors for options with irregular payoffs72 cited
  • 1996Option pricing with hedging at fixed trading dates31 cited
  • 2003Discrete hedging under piecewise linear risk minimization19 cited
  • 1997Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model

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