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Hedging with a correlated asset: Solution of a nonlinear pricing PDE
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References

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  • 1985Option Pricing and Replication with Transactions Costs915 cited
  • 1995Pricing and hedging derivative securities in markets with uncertain volatilities681 cited
  • 1998Derivatives: The Theory and Practice of Financial Engineering552 cited
  • 2005A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models438 cited
  • 1995Variance-Optimal Hedging in Discrete Time332 cited
  • 2002Quadratic Convergence for Valuing American Options Using a Penalty Method327 cited
  • 1997Numerical Methods in Finance206 cited
  • 2004A penalty method for American options with jump diffusion processes202 cited
  • 1998Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts196 cited
  • 1994On Quadratic Cost Criteria for Option Hedging164 cited
  • 2003Numerical convergence properties of option pricing PDEs with uncertain volatility157 cited
  • 2001Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach144 cited
  • 1997Convergence of Numerical Schemes for Degenerate Parabolic Equations Arising in Finance Theory136 cited
  • 2001A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets

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132 cited
  • 2000Actuarial versus Financial Pricing of Insurance127 cited
  • Cited by

    • 2015Efficient numerical Fourier methods for coupled forward–backward SDEs24 cited
    • 2016Notes on Uncertainty, Unintended Consequences and Everything Else22 cited