Option pricing and portfolio hedging under the mixed hedging strategy

DOI10.1016/j.physa.2015.01.021zbMath1400.91620OpenAlexW1965379918MaRDI QIDQ1618329

Zhong-Feng Zhao, Xiao-Tian Wang, Xiao-Fen Fang

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2015.01.021

zbMATH Keywords

option pricingscalingresidual riskmixed hedging strategyportfolio hedgingtrade frequency

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Option pricing for stochastic volatility model with infinite activity Lévy jumps, Arbitrage with fractional Gaussian processes, Option pricing under mixed hedging strategy in time-changed mixed fractional Brownian model, Risk preference, option pricing and portfolio hedging with proportional transaction costs, MATHEMATICAL PROPERTIES OF AMERICAN CHOOSER OPTIONS

Cites Work

• The Pricing of Options and Corporate Liabilities
• Discrete-time delta hedging and the Black-Scholes model with transaction costs
• Optimal delta-hedging under transactions costs
• Hedged Monte-Carlo: low variance derivative pricing with objective probabilities
• Delta hedging strategies comparison
• Scaling and universality in economics: empirical results and theoretical interpretation
• Introduction to Econophysics
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