SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
THE TRACKING ERROR RATE OF THE DELTA‐GAMMA HEDGING STRATEGY
16 references·0 citing·37 second hop
THE TRACKING ERROR RATE OF THE DELTA‐GAMMA HEDGING STRATEGY (2009)THE TRACKING ERROR RATE OF THE DELTA‐GAMM…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …L2 -time regularity of BSDEs with irregular terminal functions (2010)L2 -time regularity of BSDEs …Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces (2009)Weak convergence of error pro…Options, futures and other derivatives (2008)Options, futures and other de…Interpolation and approximation in L2(γ) (2006)Interpolation and approximati…Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control (2005)Sensitivity Analysis Using It…EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH (2005)EVALUATING HEDGING ERRORS: AN…On approximation of a class of stochastic integrals and interpolation (2004)On approximation of a class o…Quantitative approximation of certain stochastic integrals (2002)Quantitative approximation of…Discrete time hedging errors for options with irregular payoffs (2001)Discrete time hedging errors …Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Applications of Malliavin cal…Robustness of the Black and Scholes Formula (1998)Robustness of the Black and S…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…On Leland's strategy of option pricing with transactions costs (1997)On Leland's strategy of optio…THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)THE VALUE OF AN OPTION TO EXC…The Pricing of Options and Corporate Liabilities (1973)Pricing and Hedging Spread Options (2003)Theory of rational option pricing (2005)MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2006)Brownian Motion and Stochastic Calculus (2007)Towards a Theory of Volatility Trading (2010)Option Pricing and Replication with Transactions Costs (1985)Limit Theorems for Stochastic Processes (1987)On the risk‐adjusted pricing‐methodology‐based valuationof vanilla options and explanation of the volatility smile (2005)Dynamic hedging of basket options under proportional transaction costs using receding horizon control (2009)An Intertemporal Capital Asset Pricing Model (1973)Theory of Rational Option Pricing (1973)Theory of Financial Decision Making. (1988)Changes of numéraire, changes of probability measure and option pricing (1995)A quantization algorithm for solving multidimensional discrete-time optimal stopping problems (2003)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Stochastic Integration and Differential Equations (2005)Numerical solution of stochastic differential equations (2016)Brownian Motion and Stochastic Calculus (1998)Asymptotic analysis of hedging errors in models with jumps (2008)Effectiveness of CPPI strategies under discrete-time trading (2008)Stochastic Controls (1999)Numerical Methods for the Pricing of Swing Options: A Stochastic Control Approach (2006)Smart expansion and fast calibration for jump diffusions (2009)Convergence analysis of machine learning algorithms for the numerical solution of mean field control and games: II—the finite horizon case (2022)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)A Jump-Diffusion Model for Option Pricing (2002)Arbitrage Theory in Continuous Time (2004)Intermediary Asset Pricing (2013)Risk-Neutral Pricing Approach for Evaluating BOT Highway Projects with Government Minimum Revenue Guarantee Options (2011)PAMR: Passive aggressive mean reversion strategy for portfolio selection (2012)Financial distress, outside directors and corporate tax aggressiveness spanning the global financial crisis: An empirical analysis (2014)Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Pricing American Options: A Duality Approach (2004)Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006)
this work references cited by second hop

References

  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 1998Methods of Mathematical Finance2,335 cited
  • 1978THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER1,740 cited
  • 1998Methods of Mathematical Finance888 cited
  • 2008Options, futures and other derivatives664 cited
  • 1999Applications of Malliavin calculus to Monte Carlo methods in finance549 cited
  • 1998Robustness of the Black and Scholes Formula363 cited
  • 1997On Leland's strategy of option pricing with transactions costs96 cited
  • 2005Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control93 cited
  • 2005EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH85 cited
  • 2001Discrete time hedging errors for options with irregular payoffs72 cited
  • 2002Quantitative approximation of certain stochastic integrals53 cited
  • 2010L2 -time regularity of BSDEs with irregular terminal functions48 cited
  • 2004On approximation of a class of stochastic integrals and interpolation46 cited
  • 2009Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces39 cited

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

2006
Interpolation and approximation in L2(γ)
35 cited

Cited by

No citing works inside the corpus for this window.