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It only takes a few moments to hedge options
Barletta, Andrea; Santucci de Magistris, Paolo; Sloth, David - In: Journal of economic dynamics & control 100 (2019), pp. 251-269
Persistent link: https://www.econbiz.de/10012130971
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Approximate arbitrage-free option pricing under the SABR model
Yang, Nian; Chen, Nan; Liu, Yanchu; Wan, Xiangwei - In: Journal of economic dynamics & control 83 (2017), pp. 198-214
Persistent link: https://www.econbiz.de/10011915586
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Quadratic hedging schemes for non-Gaussian GARCH models
Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo - In: Journal of economic dynamics & control 42 (2014), pp. 13-32
Persistent link: https://www.econbiz.de/10010426624
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Solving asset pricing models with stochastic volatility
De Groot, Oliver - In: Journal of economic dynamics & control 52 (2015), pp. 308-321
Persistent link: https://www.econbiz.de/10011474217
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Robustness of stable volatility strategies
Branger, Nicole; Mahayni, Antje; Zieling, Daniel - In: Journal of economic dynamics & control 60 (2015), pp. 134-151
Persistent link: https://www.econbiz.de/10011575084
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Stochastic volatility implies fourth-degree risk dominance : applications to asset pricing
Gollier, Christian - In: Journal of economic dynamics & control 95 (2018), pp. 155-171
Persistent link: https://www.econbiz.de/10012004921
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Price dynamics in a market with heterogeneous investment horizons and boundedly rational traders
Chauveau, Thierry; Subbotin, Alexander - In: Journal of economic dynamics & control 37 (2013) 5, pp. 1040-1065
Persistent link: https://www.econbiz.de/10009738270
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Pricing external barrier options in a regime-switching model
Kim, Jerim; Kim, Jeongsim; Yoo, Hyun Joo; Kim, Bara - In: Journal of economic dynamics & control 53 (2015), pp. 123-143
Persistent link: https://www.econbiz.de/10011526900
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CTMC integral equation method for American options under stochastic local volatility models
Ma, Jingtang; Yang, Wensheng; Cui, Zhenyu - In: Journal of economic dynamics & control 128 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012628259
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Large traders and illiquid options : Hedging vs. manipulation
Kraft, Holger; Kühn, Christoph - In: Journal of economic dynamics & control 35 (2011) 11, pp. 1898-1915
Persistent link: https://www.econbiz.de/10009316466