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Evaluating Hedging Errors: An Asymptotic Approach

Citations

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Cited by:

  1. Carol Alexandra & Leonardo M. Nogueira, 2005. "Optimal Hedging and Scale Inavriance: A Taxonomy of Option Pricing Models," ICMA Centre Discussion Papers in Finance icma-dp2005-10, Henley Business School, University of Reading, revised Nov 2005.
  2. Fahlenbrach, Rüdiger & Sandås, Patrik, 2009. "Co-movements of index options and futures quotes," Journal of Empirical Finance, Elsevier, vol. 16(1), pages 151-163, January.
  3. Takafumi Amaba, 2014. "A Discrete-Time Clark-Ocone Formula for Poisson Functionals," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(2), pages 97-120, May.
  4. Pirjetä, Antti & Ikäheimo, Seppo & Puttonen, Vesa, 2010. "Market pricing of executive stock options and implied risk preferences," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 394-412, June.
  5. Masaaki Fukasawa, 2014. "Efficient discretization of stochastic integrals," Finance and Stochastics, Springer, vol. 18(1), pages 175-208, January.
  6. Maria Elvira Mancino & Simona Sanfelici, 2020. "Nonparametric Malliavin–Monte Carlo Computation of Hedging Greeks," Risks, MDPI, vol. 8(4), pages 1-17, November.
  7. Agni Rakshit & Gautam Bandyopadhyay & Tanujit Chakraborty, 2024. "Hedge Error Analysis In Black Scholes Option Pricing Model: An Asymptotic Approach Towards Finite Difference," Papers 2405.02919, arXiv.org.
  8. Mats Brod'en & Magnus Wiktorsson, 2010. "Hedging Errors Induced by Discrete Trading Under an Adaptive Trading Strategy," Papers 1004.4526, arXiv.org.
  9. Sebastian Herrmann & Johannes Muhle-Karbe & Frank Thomas Seifried, 2017. "Hedging with small uncertainty aversion," Finance and Stochastics, Springer, vol. 21(1), pages 1-64, January.
  10. Mats Brod'en & Peter Tankov, 2010. "Tracking errors from discrete hedging in exponential L\'evy models," Papers 1003.0709, arXiv.org.
  11. Stefan Geiss & Emmanuel Gobet, 2010. "Fractional smoothness and applications in finance," Papers 1004.3577, arXiv.org.
  12. Wang, Wensheng, 2019. "Asymptotics for discrete time hedging errors under fractional Black–Scholes models," Statistics & Probability Letters, Elsevier, vol. 149(C), pages 160-170.
  13. Albert Altarovici & Johannes Muhle-Karbe & H. Mete Soner, 2013. "Asymptotics for Fixed Transaction Costs," Papers 1306.2802, arXiv.org, revised Oct 2013.
  14. Alev{s} v{C}ern'y & Stephan Denkl & Jan Kallsen, 2013. "Hedging in L\'evy Models and the Time Step Equivalent of Jumps," Papers 1309.7833, arXiv.org, revised Jul 2017.
  15. Jirô Akahori & Takafumi Amaba & Kaori Okuma, 2017. "A Discrete-Time Clark–Ocone Formula and its Application to an Error Analysis," Journal of Theoretical Probability, Springer, vol. 30(3), pages 932-960, September.
  16. Tsubasa Nishimura & Kenji Yasutomi & Tomooki Yuasa, 2022. "Higher-Order Error Estimates of the Discrete-Time Clark–Ocone Formula," Journal of Theoretical Probability, Springer, vol. 35(4), pages 2518-2539, December.
  17. Sebastian Herrmann & Johannes Muhle-Karbe & Frank Thomas Seifried, 2016. "Hedging with Small Uncertainty Aversion," Papers 1605.06429, arXiv.org.
  18. Vyacheslav Abramov & Fima Klebaner, 2007. "Estimation and Prediction of a Non-Constant Volatility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(1), pages 1-23, March.
  19. Asaf Cohen & Yan Dolinsky, 2022. "A scaling limit for utility indifference prices in the discretised Bachelier model," Finance and Stochastics, Springer, vol. 26(2), pages 335-358, April.
  20. Ibrahim Ekren & Ren Liu & Johannes Muhle-Karbe, 2015. "Optimal Rebalancing Frequencies for Multidimensional Portfolios," Papers 1510.05097, arXiv.org, revised Sep 2017.
  21. Stefan Geiss & Emmanuel Gobet, 2011. "Fractional smoothness and applications in Finance," Post-Print hal-00474803, HAL.
  22. Masaaki Fukasawa, 2010. "Discretization error of Stochastic Integrals," Papers 1004.2107, arXiv.org.
  23. Albert Altarovici & Johannes Muhle-Karbe & Halil Soner, 2015. "Asymptotics for fixed transaction costs," Finance and Stochastics, Springer, vol. 19(2), pages 363-414, April.
  24. Balder, Sven & Brandl, Michael & Mahayni, Antje, 2009. "Effectiveness of CPPI strategies under discrete-time trading," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 204-220, January.
  25. Asaf Cohen & Yan Dolinsky, 2021. "A Scaling Limit for Utility Indifference Prices in the Discretized Bachelier Model," Papers 2102.11968, arXiv.org, revised Mar 2022.
  26. Hendrik Kohrs & Hermann Mühlichen & Benjamin R. Auer & Frank Schuhmacher, 2019. "Pricing and risk of swing contracts in natural gas markets," Review of Derivatives Research, Springer, vol. 22(1), pages 77-167, April.
  27. Lan Zhang, 2012. "Implied and realized volatility: empirical model selection," Annals of Finance, Springer, vol. 8(2), pages 259-275, May.
  28. Masaaki Fukasawa, 2012. "Efficient Discretization of Stochastic Integrals," Papers 1204.0637, arXiv.org.
  29. Lin, X. Sheldon & Wu, Panpan & Wang, Xiao, 2016. "Move-based hedging of variable annuities: A semi-analytic approach," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 40-49.
  30. Mathieu Rosenbaum & Peter Tankov, 2011. "Asymptotically optimal discretization of hedging strategies with jumps," Papers 1108.5940, arXiv.org, revised Apr 2014.
  31. Simon F'ecamp & Joseph Mikael & Xavier Warin, 2019. "Risk management with machine-learning-based algorithms," Papers 1902.05287, arXiv.org, revised Aug 2020.
  32. Farzad Alavi Fard & Firmin Doko Tchatoka & Sivagowry Sriananthakumar, 2021. "Maximum Entropy Evaluation of Asymptotic Hedging Error under a Generalised Jump-Diffusion Model," JRFM, MDPI, vol. 14(3), pages 1-19, February.
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