Add to ORKGWe derive a sequential algorithm for simultaneous calibration and quadratic hedging of options. It can be applied to any model from which we can simulate paths and price options. The quadratic hedging comes at no extra cost! We have calibrated the Bates and NIG-CIR model to S&P 500 index options in order to evaluate various hedging strategies (delta, quadratic), clearly indicating the advantage of quadratic hedging over delta hedging
The aim of this paper is to develop a hedging methodology for making a portfolio of options delta, v...
This study proposes a quadratic risk minimization (QRM) hedging strategy for the compound annual rat...
This paper proposes a methodology for active hedgingGreeks of an option portfolio integrating churni...
Quadratic hedging is a well developed theory for hedging contingent claims in incomplete markets by ...
This paper proposes a numerical approach for computing bounds for the arbitrage-free prices of an op...
Parallel stratagems are used as hedging strategies by investors to minimise their exposure to risk...
This dissertation is devoted to high performance numerical methods for option valuation and model ca...
Abstract Robust calibration of option valuation models to quoted option prices is nontrivial, but as...
This thesis treats aspects of two fundamental problems in applied financial mathematics: calibration...
We consider calibration problems for models of pricing derivatives which occur in mathematical finan...
The aim of this paper is to develop a hedging methodology for making a portfolio of options delta, v...
We propose simple sequential calibration for an asset price model driven by piecewise Lévy processes...
We consider the option pricing model proposed by Mancino and Ogawa, where the implementation of dyna...
The aim of this paper is to develop a hedging methodology for making a portfolio of options delta, v...
We consider an option pricing model proposed by Mancino and Ogawa, where the implementation of dynam...
The aim of this paper is to develop a hedging methodology for making a portfolio of options delta, v...
This study proposes a quadratic risk minimization (QRM) hedging strategy for the compound annual rat...
This paper proposes a methodology for active hedgingGreeks of an option portfolio integrating churni...
Quadratic hedging is a well developed theory for hedging contingent claims in incomplete markets by ...
This paper proposes a numerical approach for computing bounds for the arbitrage-free prices of an op...
Parallel stratagems are used as hedging strategies by investors to minimise their exposure to risk...
This dissertation is devoted to high performance numerical methods for option valuation and model ca...
Abstract Robust calibration of option valuation models to quoted option prices is nontrivial, but as...
This thesis treats aspects of two fundamental problems in applied financial mathematics: calibration...
We consider calibration problems for models of pricing derivatives which occur in mathematical finan...
The aim of this paper is to develop a hedging methodology for making a portfolio of options delta, v...
We propose simple sequential calibration for an asset price model driven by piecewise Lévy processes...
We consider the option pricing model proposed by Mancino and Ogawa, where the implementation of dyna...
The aim of this paper is to develop a hedging methodology for making a portfolio of options delta, v...
We consider an option pricing model proposed by Mancino and Ogawa, where the implementation of dynam...
The aim of this paper is to develop a hedging methodology for making a portfolio of options delta, v...
This study proposes a quadratic risk minimization (QRM) hedging strategy for the compound annual rat...
This paper proposes a methodology for active hedgingGreeks of an option portfolio integrating churni...