Discrete hedging in the mean/variance model for European call options

DOI10.1007/S10958-017-3589-8zbMath1407.91255OpenAlexW2763721578MaRDI QIDQ1694668

V. N. Nikulin

Publication date: 6 February 2018

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10958-017-3589-8

zbMATH Keywords

portfoliovariance modelEuropean call options

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Cites Work

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• Mean–variance hedging with random volatility jumps
• On the structure of proper Black-Scholes formulae
• On a new approach to calculating expectations for option pricing
• The Variance Gamma Process and Option Pricing
• Mean-Variance Hedging and Stochastic Control: Beyond the Brownian Setting
• ANALYTICAL COMPARISONS OF OPTION PRICES IN STOCHASTIC VOLATILITY MODELS
• Mathematics of Speculative Price

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