PRICING OPTIONS FROM THE POINT OF VIEW OF A TRADER

DOI10.1142/S0219024906004049zbMath1134.91465MaRDI QIDQ5386315

Sasha Stoikov

Publication date: 14 May 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

stochastic volatilityincomplete marketspricingrisk managementVegaindifference hedgerelative indifferenceVannaVolga

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (6)

Hedging life insurance with pure endowments ⋮ Pricing European options with stochastic volatility under the minimal entropy martingale measure ⋮ INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT ⋮ ON AGENT’S AGREEMENT AND PARTIAL-EQUILIBRIUM PRICING IN INCOMPLETE MARKETS ⋮ A risk reserve model for hedging in incomplete markets ⋮ Option pricing in incomplete markets

Cites Work

• Unnamed Item
• Editorial: 20th anniversary of Finance and Stochastics
• An example of indifference prices under exponential preferences
• Quantile hedging
• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
• Exponential Hedging and Entropic Penalties
• Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS

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