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On the performance of delta hedging strategies in exponential Lévy models
16 references·0 citing·37 second hop
On the performance of delta hedging strategies in exponential Lévy models (2013)On the performance of delta hedging strat…A Guided Tour through Quadratic Hedging Approaches (2010)A Guided Tour through Quadrat…Quadratic hedging in affine stochastic volatility models (2009)Quadratic hedging in affine s…OPTIMAL CONTINUOUS‐TIME HEDGING WITH LEPTOKURTIC RETURNS (2007)OPTIMAL CONTINUOUS‐TIME HEDGI…On the structure of general mean-variance hedging strategies (2007)On the structure of general m…Variance-optimal hedging for processes with stationary independent increments (2006)Variance-optimal hedging for …Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…The Fine Structure of Asset Returns: An Empirical Investigation (2002)The Fine Structure of Asset R…A Jump-Diffusion Model for Option Pricing (2002)A Jump-Diffusion Model for Op…On quadratic hedging in continuous time (2000)On quadratic hedging in conti…Lévy Processes in Finance: Theory, Numerics, and Empirical Facts (2000)Lévy Processes in Finance: Th…Option valuation using the fast Fourier transform (1999)Option valuation using the fa…The normal inverse gaussian lévy process: simulation and approximation (1997)The normal inverse gaussian l…Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…The Variance Gamma (V.G.) Model for Share Market Returns (1990)The Variance Gamma (V.G.) Mod…Calcul Stochastique et Problèmes de Martingales (1979)Calcul Stochastique et Problè…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…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)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Variance Risk Premiums (2008)Martingales and stochastic integrals in the theory of continuous trading (1981)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)The Distribution of Share Price Changes (1972)A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices (1974)Multivariate tests of financial models (1982)Hyperbolic Distributions in Finance (1995)Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling (1997)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Stochastic Integration and Differential Equations : A New Approach (2014)Theory of Rational Option Pricing (1973)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)The Behavior of Stock-Market Prices (1965)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)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)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)
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References

  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2005Stochastic Integration and Differential Equations4,700 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
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  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
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  • 2007On the structure of general mean-variance hedging strategies142 cited
  • 2006Variance-optimal hedging for processes with stationary independent increments128 cited
  • 2000On quadratic hedging in continuous time92 cited
  • 2009Quadratic hedging in affine stochastic volatility models26 cited
  • 2007

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OPTIMAL CONTINUOUS‐TIME HEDGING WITH LEPTOKURTIC RETURNS
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