Conservative delta hedging.
type: Item
instance of: scholarly article
title: Conservative delta hedging.
zbMATH Open document ID: 1065.91030
author: Per Aslak Mykland
published in: The Annals of Applied Probability
publication date: 2004-10-27T00:00:00Z
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 60G99
Mathematics Subject Classification ID: 62G15
Mathematics Subject Classification ID: 62M99
zbMATH DE Number: 2110920
zbMATH Keywords: incompleteness
zbMATH Keywords: statistical uncertainty
zbMATH Keywords: value at risk
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aoap/1019487360
OpenAlex ID: W1995106434
cites work: Nonparametric Pricing of Interest Rate Derivative Securities
cites work: Estimating continuous-time stochastic volatility models of the short-term interest rate
cites work: Q3920841
cites work: Processes of normal inverse Gaussian type
cites work: Martingale estimation functions for discretely observed diffusion processes
cites work: The pricing of options and corporate liabilities
cites work: ARCH modeling in finance. A review of the theory and empirical evidence
cites work: Convex duality in constrained portfolio optimization
cites work: Hedging contingent claims with constrained portfolios
cites work: On dynamic measure of risk
cites work: Estimation of the coefficients of a diffusion from discrete observations
cites work: Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
cites work: Weighted norm inequalities and hedging in incomplete markets
cites work: ARBITRAGE AND FREE LUNCH WITH BOUNDED RISK FOR UNBOUNDED CONTINUOUS PROCESSES
cites work: The existence of absolutely continuous local martingale measures
cites work: The variance-optimal martingale measure for continuous processes
cites work: Q4794153
cites work: On the range of options prices
cites work: Robustness of the Black and Scholes Formula
cites work: Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
cites work: Hedging and Maxmin
cites work: On estimating the diffusion coefficient from discrete observations
cites work: Quantile hedging
cites work: Efficient hedging: cost versus shortfall risk
cites work: Q3974816
cites work: Q3815091
cites work: Continuous Record Asymptotics for Rolling Sample Variance Estimators
cites work: ESTIMATION OF CONTINUOUS-TIME MODELS FOR STOCK RETURNS AND INTEREST RATES
cites work: Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
cites work: Spectral methods for identifying scalar diffusions
cites work: Martingales and arbitrage in multiperiod securities markets
cites work: Martingales and stochastic integrals in the theory of continuous trading
cites work: Volatility misspecification, option pricing and superreplication via coupling
cites work: Option Pricing Under Incompleteness and Stochastic Volatility
cites work: Q4794126
cites work: Calcul stochastique et problèmes de martingales
cites work: Q3774629
cites work: Lectures on the Mathematics of Finance
cites work: On the pricing of contingent claims under constraints
cites work: Hedging American contingent claims with constrained portfolios
cites work: Q4002114
cites work: Bayesian adaptive portfolio optimization
cites work: Estimating equations based on eigenfunctions for a discretely observed diffusion process
cites work: Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
cites work: On exponential families of Markov processes
cites work: Optimal Control of Favorable Games with a Time Limit
cites work: Dynamic programming and mean-variance hedging
cites work: Q4905685
cites work: Q4114574
cites work: Mean-variance hedging for continuous processes: New proofs and examples
cites work: EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL1
cites work: OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
cites work: Risk-minimality and orthogonality of martingales
cites work: Option hedging for semimartingales
cites work: Mean-variance hedging for general claims
cites work: Semimartingales and Hedging in Incomplete Markets
cites work: Approximating random variables by stochastic integrals
cites work: Maximizing the probability of a perfect hedge
cites work: Q4396494
DOI: 10.1214/AOAP/1019487360
Recommended article: Q3575791
Recommended article: Volatility-invariant hedging

Conservative delta hedging. (Recommended article)
Recommended article: Using the Donsker delta function to compute hedging strategies
Similarity Score: 0.7865038
Recommender Run: Recommender Run 2

Conservative delta hedging. (Recommended article)
Recommended article: Robust hedging of barrier options.
Similarity Score: 0.78409994
Recommender Run: Recommender Run 2

Conservative delta hedging. (Recommended article)
Recommended article: Delta hedging strategies comparison
Similarity Score: 0.7840557
Recommender Run: Recommender Run 2

Conservative delta hedging. (Recommended article)
Recommended article: Q2999794
Similarity Score: 0.77814746
Recommender Run: Recommender Run 2

Conservative delta hedging. (Recommended article)
Recommended article: On the choice between two delta-hedging strategies
Similarity Score: 0.7746841
Recommender Run: Recommender Run 2