SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Discrete hedging under piecewise linear risk minimization
8 references·2 citing·25 second hop
Discrete hedging under piecewise linear risk minimization (2003)Discrete hedging under piecewise linear r…Numerical Comparison of Local Risk-Minimisation and Mean-Variance Hedging (2010)Numerical Comparison of Local…A Guided Tour through Quadratic Hedging Approaches (2010)A Guided Tour through Quadrat…Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach (2001)Hedging Derivative Securities…A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets (2001)A Comparison of Two Quadratic…Option pricing with hedging at fixed trading dates (1996)Option pricing with hedging a…Variance-Optimal Hedging in Discrete Time (1995)Variance-Optimal Hedging in D…On Quadratic Cost Criteria for Option Hedging (1994)On Quadratic Cost Criteria fo…Hedging by Sequential Regression: an Introduction to the Mathematics of Option Trading (1989)Hedging by Sequential Regress…Learning minimum variance discrete hedging directly from the market (2018)Learning minimum variance dis…A moment computation algorithm for the error in discrete dynamic hedging (2005)A moment computation algorith…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)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Hedging of contingent claims under incomplete information (1990)Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A variance reduction technique based on integral representations (2002)An Intertemporal Capital Asset Pricing Model (1973)Can Hedge-Fund Returns Be Replicated?: The Linear Case (2006)Brownian Motion and Stochastic Calculus (2007)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Option pricing: A simplified approach (1979)Option pricing when underlying stock returns are discontinuous (1976)Option Pricing and Replication with Transactions Costs (1985)Theory of Rational Option Pricing (1973)Option hedging for semimartingales (1991)Martingales and arbitrage in multiperiod securities markets (1979)072103 (E50, M20) Option pricing by Esscher transforms (1995)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)Martingales versus PDEs in finance: an equivalence result with examples (2000)Hedging guarantees in variable annuities under both equity and interest rate risks (2006)
this work references cited by second hop

References

  • 2010A Guided Tour through Quadratic Hedging Approaches490 cited
  • 1995Variance-Optimal Hedging in Discrete Time332 cited
  • 1994On Quadratic Cost Criteria for Option Hedging164 cited
  • 2001Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach144 cited
  • 2001A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets132 cited
  • 1989Hedging by Sequential Regression: an Introduction to the Mathematics of Option Trading105 cited
  • 2010Numerical Comparison of Local Risk-Minimisation and Mean-Variance Hedging31 cited
  • 1996Option pricing with hedging at fixed trading dates31 cited

Cited by

  • 2018Learning minimum variance discrete hedging directly from the market18 cited
  • 2005A moment computation algorithm for the error in discrete dynamic hedging16 cited

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