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Superreplication in stochastic volatility models and optimal stopping

Frey, Rüdiger - In: Finance and stochastics 4 (2000) 2, pp. 161-187

Persistent link: https://www.econbiz.de/10001486701

Superreplication in stochastic volatility models and optimal stopping

Frey, Rüdiger - 1998

Persistent link: https://www.econbiz.de/10000993233

Market volatility and feedback effects from dynamic hedging

Frey, Rüdiger - 1995

Persistent link: https://www.econbiz.de/10000908124

Portfolio insurance and volatility

Frey, Rüdiger; Stremme, Alexander - 1994

Persistent link: https://www.econbiz.de/10000891385

Asset price volatility and option hedging in imperfectly elastic markets

Frey, Rüdiger - 1995

Persistent link: https://www.econbiz.de/10000591799

Portfolio insurance and volatility : on the robustness of the Black-Scholes option pricing model

Frey, Rüdiger; Stremme, Alexander - 1993

Persistent link: https://www.econbiz.de/10000412479

Risk-minimizing hedging strategies under restricted information : the case of stochastic volatility models observable only at discrete random times

Frey, Rüdiger; Runggaldier, Wolfgang J. - In: Mathematical methods of operations research 50 (1999) 2, pp. 339-350

Persistent link: https://www.econbiz.de/10001428847

A nonlinear filtering approach to volatility estimation with a view towards high frequency

Frey, Rüdiger; Runggaldier, Wolfgang J. - In: International journal of theoretical and applied finance 4 (2001) 2, pp. 199-210

Persistent link: https://www.econbiz.de/10001578681

Asset price volatility and option hedging in imperfectly elastic markets

Frey, Rüdiger - 1995

Persistent link: https://www.econbiz.de/10000936296

Market Volatility and Feedback Effects from Dynamic Hedging

Frey, Rüdiger; Stremme, Alexander - University of Bonn, Germany - 1995

In this paper we analyze in what way the demand generated by dynamic hedging strategies affects the equilibrium prices of the underlying asset. We derive an explicit expression for the transformation of market volatility under the impact of hedging. It turns out that market volatility increases...

Persistent link: https://www.econbiz.de/10004968246