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Discrete time hedging errors for options with irregular payoffs
3 references·9 citing·32 second hop
Discrete time hedging errors for options with irregular payoffs (2001)Discrete time hedging errors for options …Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Limit Distributions for the Error in Approximations of Stochastic Integrals (1980)Limit Distributions for the E…Stochastic Differential Equations and Applications (1976)Stochastic Differential Equat…Generalized fractional smoothness and Lp -variation of BSDEs with non-Lipschitz terminal condition (2012)Generalized fractional smooth…L2 -time regularity of BSDEs with irregular terminal functions (2010)L2 -time regularity of BSDEs …Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces (2009)Weak convergence of error pro…Asymptotic analysis of hedging errors in models with jumps (2008)Asymptotic analysis of hedgin…Interpolation and approximation in L2(γ) (2006)Interpolation and approximati…Weighted BMO and discrete time hedging within the Black-Scholes model (2004)Weighted BMO and discrete tim…On approximation of a class of stochastic integrals and interpolation (2004)On approximation of a class o…Delta-hedging vega risk? (2004)Delta-hedging vega risk?Quantitative approximation of certain stochastic integrals (2002)Quantitative approximation of…Adapted solution of a backward stochastic differential equation (1990)The Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Related Topics (2006)Stochastic Analysis (1997)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Limit Theorems for Stochastic Processes (2003)Hedging With Linear Regressions and Neural Networks (2021)A numerical scheme for BSDEs (2004)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)A regression-based Monte Carlo method to solve backward stochastic differential equations (2005)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Generalized parameter functions for option pricing (2009)Brownian Motion and Stochastic Calculus (1988)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Martingale inequalities: seminar notes on recent progress (1973)Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times (1982)Continuous Exponential Martingales and BMO (1994)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Backward Stochastic Differential Equations in Finance (1997)Discrete-time approximation of BSDEs and probabilistic schemes for fully nonlinear PDEs (2009)Numerical simulation of BSDEs with drivers of quadratic growth (2011)Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs (2016)A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)An Exact Bond Option Formula (1989)A pricing method for options based on average asset values (1990)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Inference for volatility-type objects and implications for hedging (2008)Realized volatility with stochastic sampling (2010)
this work references cited by second hop

References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1976Stochastic Differential Equations and Applications1,378 cited
  • 1980Limit Distributions for the Error in Approximations of Stochastic Integrals76 cited

Cited by

  • 2004Delta-hedging vega risk?58 cited
  • 2002Quantitative approximation of certain stochastic integrals53 cited
  • 2010L2 -time regularity of BSDEs with irregular terminal functions48 cited
  • 2004On approximation of a class of stochastic integrals and interpolation46 cited
  • 2004Weighted BMO and discrete time hedging within the Black-Scholes model46 cited
  • 2008Asymptotic analysis of hedging errors in models with jumps41 cited
  • 2012Generalized fractional smoothness and Lp -variation of BSDEs with non-Lipschitz terminal condition40 cited
  • 2009Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces39 cited
  • 2006Interpolation and approximation in L2(γ)35 cited

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