Add to ORKGAbstract: This paper provides comparative results on prices, hedging strategies and risks for local risk-minimisation and mean-variance hedging for a class of stochastic volatility models. A pricing and hedging framework is presented for both approaches with detailed analysis undertaken for the well-known Heston and Stein/Stein stochastic volatility models. These illustrate important quantitative differences between the two approaches
The classical Black-Scholes analysis determines a unique, continuous, trading strategy which allows ...
This paper examines alternative methods for pricing options when the underlying security volatilit...
Fundamental progress has been made in developing more realistic option pricing models. While the hed...
Abstract: This paper provides comparative theoretical and numerical results on risks, values and hed...
This paper provides comparative theoretical and numerical results on risks, values, and hedging stra...
none3noIn this paper we discuss the tractability of stochastic volatility models for pricing and hed...
This paper investigates the use of the asymptotic Heston solution in locally risk minimising hedging...
In this paper locally risk-minimizing hedge strategies for European-style contingent claims are deri...
In this paper locally risk-minimizing hedge strategies for European-style contingent claims are deri...
Assets can be priced using a variety of numerical methods. In some instances, a particular numerical...
In this thesis I will present my PhD research work, focusing mainly on financial modelling of asset’...
Numerous empirical proofs indicate the adequacy of the time discrete auto-regressive stochastic vola...
Recent studies have extended the Black–Scholes model to incorporate either stochastic interest rates...
In this dissertation, the price of variance swaps under stochastic volatility models based on the w...
Hedging errors of derivatives in an incomplete market are considered. We use the mean-variance hedgi...
The classical Black-Scholes analysis determines a unique, continuous, trading strategy which allows ...
This paper examines alternative methods for pricing options when the underlying security volatilit...
Fundamental progress has been made in developing more realistic option pricing models. While the hed...
Abstract: This paper provides comparative theoretical and numerical results on risks, values and hed...
This paper provides comparative theoretical and numerical results on risks, values, and hedging stra...
none3noIn this paper we discuss the tractability of stochastic volatility models for pricing and hed...
This paper investigates the use of the asymptotic Heston solution in locally risk minimising hedging...
In this paper locally risk-minimizing hedge strategies for European-style contingent claims are deri...
In this paper locally risk-minimizing hedge strategies for European-style contingent claims are deri...
Assets can be priced using a variety of numerical methods. In some instances, a particular numerical...
In this thesis I will present my PhD research work, focusing mainly on financial modelling of asset’...
Numerous empirical proofs indicate the adequacy of the time discrete auto-regressive stochastic vola...
Recent studies have extended the Black–Scholes model to incorporate either stochastic interest rates...
In this dissertation, the price of variance swaps under stochastic volatility models based on the w...
Hedging errors of derivatives in an incomplete market are considered. We use the mean-variance hedgi...
The classical Black-Scholes analysis determines a unique, continuous, trading strategy which allows ...
This paper examines alternative methods for pricing options when the underlying security volatilit...
Fundamental progress has been made in developing more realistic option pricing models. While the hed...