Stochastic moment problem and hedging of generalized Black-Scholes options

DOI10.1016/j.apnum.2011.08.005zbMath1228.91074OpenAlexW2091824559MaRDI QIDQ651087

Jaya P. N. Bishwal

Publication date: 8 December 2011

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2011.08.005

zbMATH Keywords

approximationItô stochastic differential equationdiscrete time hedgingFisk-Stratonovich integral

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical interpolation (65D05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (1)

Adaptive wavelet precise integration method for nonlinear Black-Scholes model based on variational iteration method

Cites Work

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• Weighted BMO and discrete time hedging within the Black-Scholes model
• Is the approximation rate for European pay-offs in the Black-Scholes model always \(1/\sqrt n\)?
• On an approximation problem for stochastic integrals where random time nets do not help
• Quantitative approximation of certain stochastic integrals
• On approximation of a class of stochastic integrals and interpolation
• A new estimating function for discretely sampled diffusions
• A New Representation for Stochastic Integrals and Equations
• Discrete time hedging errors for options with irregular payoffs

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