Model Dependency of the Digital Option Replication – Replication under an Incomplete Model (in English)
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Cited by:
- Tomáš Tichý, 2008. "Posouzení vybraných možností zefektivnění simulace Monte Carlo při opčním oceňování [Examination of selected improvement approaches to Monte Carlo simulation in option pricing]," Politická ekonomie, Prague University of Economics and Business, vol. 2008(6), pages 772-794.
- Tomáš Tichý, 2010. "Posouzení odhadu měnového rizika portfolia pomocí Lévyho modelů [Examination of Portfolio Currency Risk Estimation by Means of Lévy Models]," Politická ekonomie, Prague University of Economics and Business, vol. 2010(4), pages 504-521.
- Augusto Blanc-Blocquel & Luis Ortiz-Gracia & Rodolfo Oviedo, 2023. "Hedging At-the-money Digital Options Near Maturity," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-18, March.
- Vasilios N. Katsikis & Spyridon D. Mourtas, 2020. "ORPIT: A Matlab Toolbox for Option Replication and Portfolio Insurance in Incomplete Markets," Computational Economics, Springer;Society for Computational Economics, vol. 56(4), pages 711-721, December.
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More about this item
Keywords
digital options; dynamic and static replication; internal time; Lévy models; replication error; stochastic environment; stochastic volatility; variance gamma process;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G20 - Financial Economics - - Financial Institutions and Services - - - General
- D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
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