Hedging at-the-money digital options near maturity

DOI10.1007/S11009-023-10013-6MaRDI QIDQ6164847

Augusto Blanc-Blocquel, Luis Ortiz-Gracia, Rodolfo Oviedo

Publication date: 4 July 2023

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

zbMATH Keywords

hedgingHeston modelBlack-ScholesCGMY modeldigital optionshort maturitybull call spreadat-the-money

Mathematics Subject Classification ID

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

Cites Work

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• The Pricing of Options and Corporate Liabilities
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• A Class of Globally Convergent Optimization Methods Based on Conservative Convex Separable Approximations
• THE BEST HEDGING STRATEGY IN THE PRESENCE OF TRANSACTION COSTS
• Lévy Processes and Stochastic Calculus
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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