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Static versus Dynamic Hedging of Exotic Options: An Evaluation of Hedge Performance via Simulation
16 references·5 citing·26 second hop
Static versus Dynamic Hedging of Exotic Options: An Evaluation of Hedge Performance via Simulation (2002)Static versus Dynamic Hedging of Exotic O…Theory of rational option pricing (2005)Theory of rational option pri…Static Hedging of Exotic Options (1998)Static Hedging of Exotic Opti…Pricing European average rate currency options (1992)Pricing European average rate…Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Stock Price Distributions wit…Options, Futures, and Other Derivative Securities. (1990)Options, Futures, and Other D…Optimal replication of contingent claims under transaction costs (1989)Optimal replication of contin…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Option Pricing and Replication with Transactions Costs (1985)Option Pricing and Replicatio…The American Put Option Valued Analytically (1984)The American Put Option Value…The valuation of compound options (1979)The valuation of compound opt…Path Dependent Options: "Buy at the Low, Sell at the High" (1979)Path Dependent Options: "Buy …THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)THE VALUE OF AN OPTION TO EXC…Options: A Monte Carlo approach (1977)Options: A Monte Carlo approa…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…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…Static and Semi-Static Hedging as Contrarian or Conformist Bets (2019)Static and Semi-Static Hedgin…Static hedging and pricing of exotic options with payoff frames (2018)Static hedging and pricing of…Static hedging and pricing American options (2009)Static hedging and pricing Am…Static versus dynamic hedges: an empirical comparison for barrier options (2006)Static versus dynamic hedges:…Installment Options and Static Hedging (2002)Installment Options and Stati…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Determinants of corporate borrowing (1977)Option values under stochastic volatility: Theory and empirical estimates (1987)Arbitrage Theory in Continuous Time (2004)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)THE GARCH OPTION PRICING MODEL (1995)Monte Carlo methods for security pricing (1997)5 Stochastic volatility (1996)Statistical aspects of ARCH and stochastic volatility (1996)Investment and the Valuation of Firms When There is an Option to Shut Down (1985)Changes of numéraire, changes of probability measure and option pricing (1995)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)Option pricing: A simplified approach (1979)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1978THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER1,740 cited
  • 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
  • 1977Options: A Monte Carlo approach1,341 cited
  • 1990Options, Futures, and Other Derivative Securities.1,227 cited
  • 1979The valuation of compound options1,107 cited
  • 1985Option Pricing and Replication with Transactions Costs915 cited
  • 1984The American Put Option Valued Analytically728 cited
  • 1989Optimal replication of contingent claims under transaction costs605 cited
  • 1979Path Dependent Options: "Buy at the Low, Sell at the High"350 cited
  • 1992Pricing European average rate currency options331 cited
  • 1998Static Hedging of Exotic Options

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286 cited

Cited by

  • 2009Static hedging and pricing American options39 cited
  • 2006Static versus dynamic hedges: an empirical comparison for barrier options37 cited
  • 2018Static hedging and pricing of exotic options with payoff frames36 cited
  • 2002Installment Options and Static Hedging34 cited
  • 2019Static and Semi-Static Hedging as Contrarian or Conformist Bets29 cited