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Hedging with Options in Models with Jumps · Study

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ChapterHedging with Options in Models with Jumps

Rama Cont A2007

Chapter2007

Hedging with Options in Models with Jumps

Rama Cont A · Peter Tankov · Ekaterina Voltchkova

96 citations·0/0 files stored·Springer eBooks

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

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References

2003Financial Modelling with Jump Processes 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1979Calcul Stochastique et Problèmes de Martingales 2000Nonparametric risk management and implied risk aversion 1990Hedging of contingent claims under incomplete information 2010A Guided Tour through Quadratic Hedging Approaches 1985Hedging of non-redundant contingent claims 2005A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

Cited by

2009Jump-diffusion Models: a Practitioner's Guide 2007Constant Proportion Portfolio Insurance in Presence of Jumps in Asset Prices 2009Dynamic Hedging Under Jump Diffusion with Transaction Costs 2008Asymptotic analysis of hedging errors in models with jumps 2016Pure jump models for pricing and hedging VIX derivatives 2014Asymptotically optimal discretization of hedging strategies with jumps

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2010Pricing and Hedging in Exponential Lévy Models: Review of Recent Resultschapter · 6 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 4 shared references 2004Option Pricing: Valuation Models and Applicationsarticle · 4 shared references 2007On the structure of general mean-variance hedging strategiesarticle · 4 shared references 2010The Econometrics of Option Pricingchapter · 4 shared references 2000On quadratic hedging in continuous timearticle · 4 shared references

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Year2007

Typechapter

Published2007-01-01

VenueSpringer eBooks

Languageen

Citations96

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-540-70847-6_8

openalex_workW2108920735

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2014Optimal hedging when the underlying asset follows a regime-switching Markov process