A new scheme for static hedging of European derivatives under stochastic volatility models

Akihiko Takahashi; Akira Yamazaki

doi:10.1002/fut.20367

A new scheme for static hedging of European derivatives under stochastic volatility models

Journal of Futures Markets ◽

10.1002/fut.20367 ◽

2009 ◽

Vol 29 (5) ◽

pp. 397-413 ◽

Cited By ~ 11

Author(s):

Akihiko Takahashi ◽

Akira Yamazaki

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Static Hedging ◽

Volatility Models

Download Full-text

Robust static hedging of barrier options in stochastic volatility models

Mathematical Methods of Operations Research ◽

10.1007/s00186-008-0273-2 ◽

2008 ◽

Vol 70 (3) ◽

pp. 405-433 ◽

Cited By ~ 11

Author(s):

J. H. Maruhn ◽

E. W. Sachs

Keyword(s):

Stochastic Volatility ◽

Barrier Options ◽

Stochastic Volatility Models ◽

Static Hedging ◽

Volatility Models

Download Full-text

Local, Stochastic Volatility Models, Static Hedging and Variance Swap

Financial Mathematics, Derivatives and Structured Products ◽

10.1007/978-981-13-3696-6_19 ◽

2019 ◽

pp. 233-247

Author(s):

Raymond H. Chan ◽

Yves ZY. Guo ◽

Spike T. Lee ◽

Xun Li

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Variance Swap ◽

Static Hedging ◽

Volatility Models

Download Full-text

An adaptive Filon quadrature for stochastic volatility models

The Journal of Computational Finance ◽

10.21314/jcf.2018.356 ◽

2018 ◽

Vol 22 (3) ◽

pp. 65-88 ◽

Cited By ~ 1

Author(s):

Fabien Le Floc'h

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

Download Full-text

A Taylor series approach to pricing and implied volatility for local–stochastic volatility models

The Journal of Risk ◽

10.21314/jor.2014.297 ◽

2014 ◽

Vol 17 (2) ◽

pp. 3-19 ◽

Cited By ~ 6

Author(s):

Matthew Lorig ◽

Stefano Pagliarani ◽

Andrea Pascucci

Keyword(s):

Stochastic Volatility ◽

Taylor Series ◽

Implied Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

Download Full-text

Transform Analysis for Pricing American Options Under Low-Dimensional Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.1528827 ◽

2009 ◽

Cited By ~ 1

Author(s):

Natalia Beliaeva ◽

Sanjay K. Nawalkha

Keyword(s):

Stochastic Volatility ◽

American Options ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Low Dimensional

Download Full-text

Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think

SSRN Electronic Journal ◽

10.2139/ssrn.231165 ◽

2000 ◽

Cited By ~ 3

Author(s):

Sassan Alizadeh ◽

Michael W. Brandt ◽

Francis X. Diebold

Keyword(s):

Exchange Rate ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Exchange Rate Dynamics ◽

Volatility Models

Download Full-text

Pricing Exotic Variance Swaps Under 3/2-Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.2339504 ◽

2013 ◽

Cited By ~ 2

Author(s):

Chi Yuen ◽

Wendong Zheng ◽

Yue Kuen Kwok

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Variance Swaps ◽

Volatility Models

Download Full-text

Computing Journal: Stochastic-volatility Models with Optional Jumps

SSRN Electronic Journal ◽

10.2139/ssrn.2487746 ◽

2007 ◽

Author(s):

Anna Pretre ◽

Gabriele Susinno

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

Download Full-text

Asymmetric Stochastic Volatility Models: Properties and Estimation

SSRN Electronic Journal ◽

10.2139/ssrn.2544473 ◽

2015 ◽

Cited By ~ 1

Author(s):

Xiuping Mao ◽

Esther Ruiz ◽

Helena Veiga ◽

Veronika Czellar

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

Download Full-text

On Moment Non-Explosions for Wishart-Based Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.2720927 ◽

2016 ◽

Author(s):

Joss Da Fonseca

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

Download Full-text