Optimal Weak Static Hedging of Equity and Credit Risk Using Derivatives

DOI10.1080/13504860903075522zbMath1229.91331OpenAlexW2039167921MaRDI QIDQ3565097

Dirk Becherer, Ian Ward

Publication date: 27 May 2010

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860903075522

zbMATH Keywords

stochastic volatilitycalibrationstatic hedgingconvertible bondminimum variance hedgingdisplaced diffusion

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

• Stability of ADI schemes applied to convection--diffusion equations with mixed derivative terms
• Static hedging of multivariate derivatives by simulation
• Residual risks and hedging strategies in Markovian markets
• Robust Hedging of Barrier Options
• Arbitrage pricing of defaultable game options with applications to convertible bonds
• Hedging Index Options With Few Assets¹
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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