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Hedging options under transaction costs and stochastic volatility
16 references·4 citing·26 second hop
Hedging options under transaction costs and stochastic volatility (2003)Hedging options under transaction costs a…Introduction to Stochastic Programming (2011)Introduction to Stochastic Pr…Introduction to Stochastic Programming (1998)Introduction to Stochastic Pr…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…THE GARCH OPTION PRICING MODEL (1995)THE GARCH OPTION PRICING MODELMeasuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…ARCH modeling in finance (1992)ARCH modeling in financeARCH models as diffusion approximations (1990)ARCH models as diffusion appr…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)Option Pricing when the Varia…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Option Pricing and Replication with Transactions Costs (1985)Option Pricing and Replicatio…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Dynamic option hedging via stochastic model predictive control based on scenario simulation (2012)Dynamic option hedging via st…A stochastic model predictive control approach to dynamic option hedging with transaction costs (2011)A stochastic model predictive…A decision support system for strategic asset allocation (2011)A decision support system for…Scenario-based stochastic model predictive control for dynamic option hedging (2010)Scenario-based stochastic mod…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)Conditional value-at-risk for general loss distributions (2002)The Sample Average Approximation Method for Stochastic Discrete Optimization (2002)Theory and Applications of Robust Optimization (2010)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Econometric Analysis of Cross Section and Panel Data (2001)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Introductory Econometrics for Finance (2008)A long memory property of stock market returns and a new model (1993)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2011Introduction to Stochastic Programming6,469 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1998Introduction to Stochastic Programming1,664 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
  • 1995THE GARCH OPTION PRICING MODEL1,131 cited
  • 1987Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application978 cited
  • 1990ARCH models as diffusion approximations943 cited

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  • 1985Option Pricing and Replication with Transactions Costs915 cited
  • Cited by

    • 2011A decision support system for strategic asset allocation39 cited
    • 2011A stochastic model predictive control approach to dynamic option hedging with transaction costs30 cited
    • 2010Scenario-based stochastic model predictive control for dynamic option hedging29 cited
    • 2012Dynamic option hedging via stochastic model predictive control based on scenario simulation28 cited