Pricing index options by static hedging under finite liquidity
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Alan J. King & Matti Koivu & Teemu Pennanen, 2005. "Calibrated Option Bounds," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(02), pages 141-159.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Teemu Pennanen & Udomsak Rakwongwan, 2020. "Optimal semi-static hedging in illiquid markets," Papers 2008.01463, arXiv.org.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- John Armstrong & Teemu Pennanen & Udomsak Rakwongwan, 2018. "Pricing Index Options By Static Hedging Under Finite Liquidity," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(06), pages 1-18, September.
- Consiglio, Andrea & Zenios, Stavros A., 2018.
"Pricing and hedging GDP-linked bonds in incomplete markets,"
Journal of Economic Dynamics and Control, Elsevier, vol. 88(C), pages 137-155.
- Consiglio, A. & Zenios, S. A., 2017. "Pricing and Hedging GDP-Linked Bonds in Incomplete Markets," Working Papers 17-02, University of Pennsylvania, Wharton School, Weiss Center.
- Andrea Consiglio & Stavros A Zenios, 2018. "Pricing and hedging GDP-linked bonds in incomplete markets," Working Papers 29, European Stability Mechanism.
- Consiglio, Andrea & De Giovanni, Domenico, 2008. "Evaluation of insurance products with guarantee in incomplete markets," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 332-342, February.
- Martin Glanzer & Georg Ch. Pflug & Alois Pichler, 2017. "Incorporating statistical model error into the calculation of acceptability prices of contingent claims," Papers 1703.05709, arXiv.org, revised Jan 2019.
- Geyer, Alois & Hanke, Michael & Weissensteiner, Alex, 2014. "No-arbitrage bounds for financial scenarios," European Journal of Operational Research, Elsevier, vol. 236(2), pages 657-663.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1803.02486. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.