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Optimal hedging in discrete time
9 references·0 citing·38 second hop
Optimal hedging in discrete time (2013)Optimal hedging in discrete timeReplicating the Properties of Hedge Fund Returns (2007)Replicating the Properties of…On the structure of general mean-variance hedging strategies (2007)On the structure of general m…Paul Wilmott on Quantitative Finance (2006)Paul Wilmott on Quantitative …Who Needs Hedge Funds? A Copula-Based Approach to Hedge Fund Return Replication (2005)Who Needs Hedge Funds? A Copu…Multidimensional Variance‐Optimal Hedging in Discrete‐Time Model—A General Approach (2000)Multidimensional Variance‐Opt…A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models (1998)A Note on Hedging in ARCH and…Variance-Optimal Hedging in Discrete Time (1995)Variance-Optimal Hedging in D…THE GARCH OPTION PRICING MODEL (1995)THE GARCH OPTION PRICING MODELDiscretely adjusted option hedges (1980)Discretely adjusted option he…The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Monte Carlo methods for security pricing (1997)A Closed-Form GARCH Option Valuation Model (2000)Stochastic Volatility for Lévy Processes (2003)Theory of Rational Option Pricing (1973)Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach (2001)Guaranteed Annuity Options (2003)Theory of rational option pricing (2005)Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence (2006)Distributional Analysis of Portfolio Choice (1988)Inefficient Dynamic Portfolio Strategies or How to Throw Away a Million Dollars in the Stock Market (1988)Replication and evaluation of funds of hedge funds returns (2006)How Do Hedge Fund Clones Manage the Real World? (2009)Hedge Funds: A Dynamic Industry in Transition (2015)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)Approximation pricing and the variance-optimal martingale measure (1996)The Variance-Optimal Martingale Measure for Continuous Processes (1996)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)Calcul Stochastique et Problèmes de Martingales (1979)Limit Theorems for Stochastic Processes (2003)Optimal investment for an insurer: The martingale approach (2006)BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM (2010)Pricing and Hedging in Exponential Lévy Models: Review of Recent Results (2010)A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions (1995)An Introduction to Copulas (1999)Goodness-of-fit tests for copulas: A review and a power study (2007)Regular(ized) hedge funds (2010)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)EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY AND RELATED PROCESSES (2013)GARCH Option Valuation:Theory and Evidence (2013)Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints (2014)Markov Decision Processes in Finance and Dynamic Options (2002)
this work references cited by second hop

References

  • 1995THE GARCH OPTION PRICING MODEL1,131 cited
  • 2006Paul Wilmott on Quantitative Finance467 cited
  • 1995Variance-Optimal Hedging in Discrete Time332 cited
  • 1980Discretely adjusted option hedges194 cited
  • 2007On the structure of general mean-variance hedging strategies142 cited
  • 2005Who Needs Hedge Funds? A Copula-Based Approach to Hedge Fund Return Replication69 cited
  • 1998A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models56 cited
  • 2007Replicating the Properties of Hedge Fund Returns34 cited
  • 2000Multidimensional Variance‐Optimal Hedging in Discrete‐Time Model—A General Approach22 cited

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