Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offs

DOI10.1080/14697688.2015.1046397zbMath1468.91145OpenAlexW1812788441MaRDI QIDQ5001155

Dongya Deng, Harry Zheng, Jingtang Ma

Publication date: 16 July 2021

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

Full work available at URL: http://hdl.handle.net/10044/1/32510

zbMATH Keywords

convergence ratejump-diffusion modelstatic replicationequidistribution equationnonlinear pay-off

Mathematics Subject Classification ID

Portfolio theory (91G10) Jump processes on discrete state spaces (60J74)

Related Items (4)

Pricing formula for exotic options with assets exposed to counterparty risk ⋮ Option pricing for path-dependent options with assets exposed to multiple defaults risk ⋮ Explicit pricing formulas for European option with asset exposed to double defaults risk ⋮ Efficient option risk measurement with reduced model risk

Cites Work

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• Optimal investment with counterparty risk: a default-density model approach
• Stochastic calculus for finance. II: Continuous-time models.
• Convergence of de Boor's algorithm for the generation of equidistributing meshes
• Options and Efficiency
• Theoretical Numerical Analysis

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