SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Hedging with Options in Models with Jumps
13 references·11 citing·40 second hop
Hedging with Options in Models with Jumps (2007)Hedging with Options in Models with JumpsA Guided Tour through Quadratic Hedging Approaches (2010)A Guided Tour through Quadrat…Variance-optimal hedging for processes with stationary independent increments (2006)Variance-optimal hedging for …Integro-differential equations for option prices in exponential Lévy models (2005)Integro-differential equation…A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)A Finite Difference Scheme fo…Non-parametric calibration of jump–diffusion option pricing models (2004)Non-parametric calibration of…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Modelling by Lévy Processes for Financial Econometrics (2001)Modelling by Lévy Processes f…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Nonparametric risk management and implied risk aversion (2000)Nonparametric risk management…Nonparametric Risk Management and Implied Risk Aversion (2000)Nonparametric Risk Management…Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …Hedging of non-redundant contingent claims (1985)Hedging of non-redundant cont…Calcul Stochastique et Problèmes de Martingales (1979)Calcul Stochastique et Problè…Pure jump models for pricing and hedging VIX derivatives (2016)Pure jump models for pricing …Pricing and Hedging of Derivatives in Contagious Markets (2014)Pricing and Hedging of Deriva…Optimal hedging when the underlying asset follows a regime-switching Markov process (2014)Optimal hedging when the unde…Asymptotically optimal discretization of hedging strategies with jumps (2014)Asymptotically optimal discre…Variance optimal hedging for continuous time additive processes and applications (2013)Variance optimal hedging for …Variance-Optimal Hedging in General Affine Stochastic Volatility Models (2010)Variance-Optimal Hedging in G…Quadratic hedging in affine stochastic volatility models (2009)Quadratic hedging in affine s…Jump-diffusion Models: a Practitioner's Guide (2009)Jump-diffusion Models: a Prac…Dynamic Hedging Under Jump Diffusion with Transaction Costs (2009)Dynamic Hedging Under Jump Di…Asymptotic analysis of hedging errors in models with jumps (2008)Asymptotic analysis of hedgin…Constant Proportion Portfolio Insurance in Presence of Jumps in Asset Prices (2007)Constant Proportion Portfolio…The Pricing of Options and Corporate Liabilities (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Theory of rational option pricing (2005)Valuation and hedging of life insurance liabilities with systematic mortality risk (2006)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Option valuation using the fast Fourier transform (1999)Stochastic Integration and Differential Equations (2005)Fractional Diffusion Models of Option Prices in Markets With Jumps (2006)Pricing Options in Jump-Diffusion Models: An Extrapolation Approach (2007)Option pricing when underlying stock returns are discontinuous (1976)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Oil price dynamics (2002–2006) (2008)Robust risk measurement and model risk (2013)Asset Prices in an Exchange Economy (1978)Recovering Risk Aversion from Option Prices and Realized Returns (1996)Assessing value at risk with CARE, the Conditional Autoregressive Expectile models (2008)The Econometrics of Financial Markets (2012)Young, Old, Conservative, and Bold: The Implications of Heterogeneity and Finite Lives for Asset Pricing (2014)Martingales and arbitrage in multiperiod securities markets (1979)Option pricing and Esscher transform under regime switching (2005)Numerical Solution of Stochastic Differential Equations with Jumps in Finance (2010)Theory of Rational Option Pricing (1973)Empirical pricing kernels (2002)Option‐Implied Risk Aversion Estimates (2004)Information demand and stock market volatility (2012)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)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)The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Time-changed Lévy processes and option pricing (2003)Option hedging for semimartingales (1991)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)
this work references cited by second hop

References

  • 2003Financial Modelling with Jump Processes3,217 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1979Calcul Stochastique et Problèmes de Martingales1,161 cited
  • 2000Nonparametric risk management and implied risk aversion740 cited
  • 1990Hedging of contingent claims under incomplete information736 cited
  • 2010A Guided Tour through Quadratic Hedging Approaches490 cited
  • 1985Hedging of non-redundant contingent claims459 cited
  • 2005A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models438 cited
  • 2000Nonparametric Risk Management and Implied Risk Aversion272 cited
  • 2004Non-parametric calibration of jump–diffusion option pricing models212 cited
  • 2001Modelling by Lévy Processes for Financial Econometrics196 cited
  • 2005Integro-differential equations for option prices in exponential Lévy models176 cited
  • 2006Variance-optimal hedging for processes with stationary independent increments128 cited

Cited by

  • 2009Jump-diffusion Models: a Practitioner's Guide60 cited
  • 2007Constant Proportion Portfolio Insurance in Presence of Jumps in Asset Prices

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

49 cited
  • 2009Dynamic Hedging Under Jump Diffusion with Transaction Costs42 cited
  • 2008Asymptotic analysis of hedging errors in models with jumps41 cited
  • 2016Pure jump models for pricing and hedging VIX derivatives35 cited
  • 2014Asymptotically optimal discretization of hedging strategies with jumps27 cited
  • 2014Optimal hedging when the underlying asset follows a regime-switching Markov process27 cited
  • 2014Pricing and Hedging of Derivatives in Contagious Markets27 cited
  • 2009Quadratic hedging in affine stochastic volatility models26 cited
  • 2013Variance optimal hedging for continuous time additive processes and applications25 cited
  • 2010Variance-Optimal Hedging in General Affine Stochastic Volatility Models24 cited