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Hedging options under transaction costs and stochastic volatility · Study

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ArticleHedging options under transaction costs and stochastic volatility

Jacek Gondzio2003

Article2003

Hedging options under transaction costs and stochastic volatility

Jacek Gondzio · Roy R. P. Kouwenberg · Ton Vorst

33 citations·0/0 files stored·Journal of Economic Dynamics and Control

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Risk and Portfolio Optimization

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References

1973The Pricing of Options and Corporate Liabilities 1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 2011Introduction to Stochastic Programming 1992ARCH modeling in finance 1987The Pricing of Options on Assets with Stochastic Volatilities 1993Measuring and Testing the Impact of News on Volatility

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2011A decision support system for strategic asset allocation 2011A stochastic model predictive control approach to dynamic option hedging with transaction costs 2010Scenario-based stochastic model predictive control for dynamic option hedging 2012Dynamic option hedging via stochastic model predictive control based on scenario simulation

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Year2003

Typearticle

Published2003-01-30

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations33

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0165-1889(02)00054-4

openalex_workW2092887155

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