An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs

DOI10.1080/14697688.2010.494613zbMath1279.91167OpenAlexW3121396708MaRDI QIDQ2873539

Artur Sepp

Publication date: 24 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.494613

zbMATH Keywords

transaction costsjump riskjump-diffusion modeldiscrete tradingdelta-hedging errorsparameters misspecificationprofit/loss distribution

Mathematics Subject Classification ID

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

Related Items (6)

Move-based hedging of variable annuities: a semi-analytic approach ⋮ COMPUTATIONAL METHOD FOR PROBABILITY DISTRIBUTION ON RECURSIVE RELATIONSHIPS IN FINANCIAL APPLICATIONS ⋮ Distribution of Discrete Time Delta-Hedging Error via a Recursive Relation ⋮ Deep hedging ⋮ Unnamed Item ⋮ Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate

Cites Work

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• Robustness of the Black and Scholes Formula
• European Option Pricing with Transaction Costs
• Option pricing when underlying stock returns are discontinuous
• Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions

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