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TRACKING ERRORS FROM DISCRETE HEDGING IN EXPONENTIAL LÉVY MODELS
16 references·0 citing·37 second hop
TRACKING ERRORS FROM DISCRETE HEDGING IN EXPONENTIAL LÉVY MODELS (2011)TRACKING ERRORS FROM DISCRETE HEDGING IN …On the structure of general mean-variance hedging strategies (2007)On the structure of general m…Hedging with Options in Models with Jumps (2007)Hedging with Options in Model…Variance-optimal hedging for processes with stationary independent increments (2006)Variance-optimal hedging for …Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH (2005)EVALUATING HEDGING ERRORS: AN…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…The Fine Structure of Asset Returns: An Empirical Investigation (2002)The Fine Structure of Asset R…Quantitative approximation of certain stochastic integrals (2002)Quantitative approximation of…Discrete time hedging errors for options with irregular payoffs (2001)Discrete time hedging errors …Application of Generalized Hyperbolic Lévy Motions to Finance (2001)Application of Generalized Hy…When is time continuous? (2000)When is time continuous?The Variance Gamma Process and Option Pricing (1998)The Variance Gamma Process an…Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …Hedging of non-redundant contingent claims (1985)Hedging of non-redundant cont…Self-decomposability of the generalized inverse Gaussian and hyperbolic distributions (1979)Self-decomposability of the g…On the infinite divisibility of the lognormal distribution (1977)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Continuous Martingales and Brownian Motion (1999)Option valuation using the fast Fourier transform (1999)A Jump-Diffusion Model for Option Pricing (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Theory of Rational Option Pricing (1973)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)Theory of rational option pricing (2005)Hyperbolic Distributions in Finance (1995)Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling (1997)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)A Theory of the Term Structure of Interest Rates (1985)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Estimating quadratic variation using realized variance (2002)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)Brownian Motion and Stochastic Calculus (2007)Copulas for Finance - A Reading Guide and Some Applications (2007)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)Martingales and arbitrage in multiperiod securities markets (1979)Martingales and stochastic integrals in the theory of continuous trading (1981)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2006)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Backward Stochastic Differential Equations in Finance (1997)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)
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References

  • 2005Stochastic Integration and Differential Equations4,700 cited
  • 2003Financial Modelling with Jump Processes3,261 cited
  • 1998The Variance Gamma Process and Option Pricing1,786 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 1997Processes of normal inverse Gaussian type1,224 cited
  • 1990Hedging of contingent claims under incomplete information736 cited
  • 1985Hedging of non-redundant contingent claims460 cited
  • 2001Application of Generalized Hyperbolic Lévy Motions to Finance238 cited
  • 2007On the structure of general mean-variance hedging strategies142 cited
  • 1979Self-decomposability of the generalized inverse Gaussian and hyperbolic distributions135 cited
  • 2000When is time continuous?130 cited
  • 2006Variance-optimal hedging for processes with stationary independent increments128 cited
  • 2007Hedging with Options in Models with Jumps96 cited
  • 2005EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH85 cited
  • 2001Discrete time hedging errors for options with irregular payoffs72 cited
  • 2002Quantitative approximation of certain stochastic integrals

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