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EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
16 references·6 citing·38 second hop
EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH (2005)EVALUATING HEDGING ERRORS: AN ASYMPTOTIC …Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Econometric Analysis of Reali…When is time continuous? (2000)When is time continuous?Quantile hedging (1999)Quantile hedgingVolatility misspecification, option pricing and superreplication via coupling (1998)Volatility misspecification, …Robustness of the Black and Scholes Formula (1998)Robustness of the Black and S…Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices (1998)Nonparametric Estimation of S…Minimum-Relative-Entropy Calibration of Asset-Pricing Models (1998)Minimum-Relative-Entropy Cali…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Brownian Motion and Stochastic Calculus (1998)Brownian Motion and Stochasti…On Leland's strategy of option pricing with transactions costs (1997)On Leland's strategy of optio…A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks (1994)A Nonparametric Approach to P…On the estimation of the diffusion coefficient for multi-dimensional diffusion processes (1993)On the estimation of the diff…Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …Limit Theorems for Stochastic Processes (1987)Limit Theorems for Stochastic…Option Pricing and Replication with Transactions Costs (1985)Option Pricing and Replicatio…Asymptotics for fixed transaction costs (2015)Asymptotics for fixed transac…Asymptotically optimal discretization of hedging strategies with jumps (2014)Asymptotically optimal discre…Discretization error of stochastic integrals (2011)Discretization error of stoch…Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces (2009)Weak convergence of error pro…Effectiveness of CPPI strategies under discrete-time trading (2008)Effectiveness of CPPI strateg…Asymptotic analysis of hedging errors in models with jumps (2008)Asymptotic analysis of hedgin…The Pricing of Options and Corporate Liabilities (1973)Contingent Claims and Market Completeness in a Stochastic Volatility Model (1997)Pricing and Hedging Spread Options (2003)Theory of rational option pricing (2005)MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2006)A Theory of the Term Structure of Interest Rates (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Separating microstructure noise from volatility (2005)A framework for assessing the systemic risk of major financial institutions (2009)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)The Valuation of Uncertain Income Streams and the Pricing of Options (1976)European Option Pricing with Transaction Costs (1993)Pricing and hedging derivative securities in markets with uncertain volatilities (1995)Rollover Risk and Credit Risk (2012)Theory of Rational Option Pricing (1973)Recovering Risk Aversion from Option Prices and Realized Returns (2000)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)The Model-Free Implied Volatility and Its Information Content (2005)Martingales and arbitrage in multiperiod securities markets (1979)Martingales and stochastic integrals in the theory of continuous trading (1981)Option pricing and Esscher transform under regime switching (2005)A Guided Tour through Quadratic Hedging Approaches (2010)Numerical Solution of Stochastic Differential Equations with Jumps in Finance (2010)A Stochastic Approximation Method (1951)Nonparametric risk management and implied risk aversion (2000)Application of neural networks to an emerging financial market: forecasting and trading the Taiwan Stock Index (2002)Deep Learning for Finance: Deep Portfolios (2016)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Does Option Compensation Increase Managerial Risk Appetite? (2000)Range‐Based Estimation of Stochastic Volatility Models (2002)Arbitrage Theory in Continuous Time (1998)Affine processes and applications in finance (2003)Variance Risk Premiums (2008)
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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1998Brownian Motion and Stochastic Calculus2,043 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1987Limit Theorems for Stochastic Processes1,319 cited
  • 1998Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices1,060 cited
  • 1985Option Pricing and Replication with Transactions Costs915 cited
  • 2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics907 cited
  • 1990Hedging of contingent claims under incomplete information736 cited
  • 1994A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks718 cited
  • 1998Robustness of the Black and Scholes Formula363 cited
  • 1999Quantile hedging294 cited
  • 1993On the estimation of the diffusion coefficient for multi-dimensional diffusion processes226 cited
  • 1998Volatility misspecification, option pricing and superreplication via coupling136 cited
  • 1998Minimum-Relative-Entropy Calibration of Asset-Pricing Models132 cited
  • 2000When is time continuous?130 cited

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  • 1997On Leland's strategy of option pricing with transactions costs96 cited
  • Cited by

    • 2008Effectiveness of CPPI strategies under discrete-time trading66 cited
    • 2008Asymptotic analysis of hedging errors in models with jumps41 cited
    • 2009Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces39 cited
    • 2015Asymptotics for fixed transaction costs38 cited
    • 2011Discretization error of stochastic integrals32 cited
    • 2014Asymptotically optimal discretization of hedging strategies with jumps27 cited