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An Approximate Distribution of Delta-Hedging Errors in a Jump-Diffusion Model with Discrete Trading and Transaction Costs

Sepp, Artur - 2014

We introduce a jump-diffusion model for asset returns with jumps drawn from a mixture of normal distributions and show that this model adequately fits the historical data of the Samp;P500 index. We consider delta-hedging strategy for vanilla options under the diffusion model (DM) and the...

Persistent link: https://www.econbiz.de/10012750924

An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs

Sepp, Artur - In: Quantitative Finance 12 (2012) 7, pp. 1119-1141

We introduce a jump-diffusion model for asset returns with jumps drawn from a mixture of normal distributions and show that this model adequately fits the historical data of the S&P500 index. We consider a delta-hedging strategy (DHS) for vanilla options under the diffusion model (DM) and the...

Persistent link: https://www.econbiz.de/10010606751

Brief communication - Factor models for credit correlation - The authors present an extension of the static factor model for pricing credit correlation products introduced by Lipto...

Inglis, Stewart; Lipton, Alex; Sepp, Artur - In: Risk : managing risk in the world's financial markets 22 (2009) 4, pp. 98-99

Persistent link: https://www.econbiz.de/10008242133

CUTTING EDGE - Variance swaps - Variance swaps under no conditions - Conditional variance swaps are claims on realised variance that is accumulated when the underlying asset price...

Sepp, Artur - In: Risk : managing risk in the world's financial markets 20 (2007) 3, pp. 82-87

Persistent link: https://www.econbiz.de/10007719362

Equity derivatives - The beta stochastic volatility model - Local stochastic volatility models combine perfect calibration at time zero with realistic price dynamics. But tradition...

Karasinski, Piotr; Sepp, Artur - In: Risk : managing risk in the world's financial markets 25 (2012) 10, pp. 62-68

Persistent link: https://www.econbiz.de/10010040616

CUTTING EDGE - Option pricing - Vix option pricing in a jump-diffusion model - The author discusses Vix futures and options and shows that their market prices exhibit positive vola...

Sepp, Artur - In: Risk : managing risk in the world's financial markets 21 (2008) 4, pp. 84-89

Persistent link: https://www.econbiz.de/10008051007

Option pricing - Filling the gaps

Lipton, Alex; Sepp, Artur - In: Risk : managing risk in the world's financial markets 24 (2011) 10, pp. 78-84

Persistent link: https://www.econbiz.de/10009795855

RESEARCH PAPERS - Pricing options on realized variance in the Heston model with jumps in returns and volatility. Part II. An approximate distribution of discrete variance

Sepp, Artur - In: The journal of computational finance 16 (2012) 2, pp. 3-32

Persistent link: https://www.econbiz.de/10010062330