Hedging efficiently under correlation

DOI10.1080/14697688.2017.1299201zbMath1402.91681OpenAlexW3122145858MaRDI QIDQ4555159

Roberto Daluiso, Massimo Morini

Publication date: 19 November 2018

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

Full work available at URL: https://doi.org/10.1080/14697688.2017.1299201

zbMATH Keywords

correlationhedgingtransaction costsrisk-aversioncredit value adjustment

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (2)

It only takes a few moments to hedge options ⋮ HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS

Cites Work

• The herd behavior index: a new measure for the implied degree of co-movement in stock markets
• An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
• Delta-hedging vega risk?
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Pricing Interest-Rate-Derivative Securities
• Unnamed Item

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