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Jump, diffusion, and long-term volatility risks with incremental information in VIX assets

Chen, Sonnan; Gu, Yuchi - In: The journal of derivatives : JOD 28 (2021) 3, pp. 60-96

Persistent link: https://www.econbiz.de/10012486031

Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits

Feng, Runhuan; Volkmer, Hans W. - In: Astin bulletin : the journal of the International … 44 (2014) 3, pp. 653-681

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On nonparametric predictive inference for asset and European option trading in the binomial tree model

Chen, Junbin; Coolen, Frank P. A.; Coolen-Maturi, Tahani - In: Journal of the Operational Research Society 70 (2019) 10, pp. 1678-1691

Persistent link: https://www.econbiz.de/10012214367

Options portfolio selection

Guasoni, Paolo; Mayerhofer, Eberhard - In: Operations research 68 (2020) 3, pp. 733-740

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The performance of model based option trading strategies

Eraker, Bjørn - In: Review of derivatives research 16 (2013) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10009729949

Malliavin Calculus for Stochastic Strings with Applications To Barrier Options and Optimal Portfolios

Bueno-Guerrero, Alberto - 2017

We apply the Malliavin calculus to the stochastic string framework and obtain a Clark-Ocone-like formula. This result allows us to rewrite the hedging portfolio explicitly in terms of the Malliavin derivative of the discounted payoff. We illustrate this new result with two applications. Firstly,...

Persistent link: https://www.econbiz.de/10012960764