Delta hedging with the smile

被引:0
|
作者
Sami Vähämaa
机构
[1] University of Vaasa,Department of Accounting and Finance
来源
关键词
Delta Hedging;
D O I
10.1007/s11408-004-0302-y
中图分类号
学科分类号
摘要
引用
收藏
页码:241 / 255
页数:14
相关论文
共 50 条
  • [1] Delta hedging bitcoin options with a smile
    Alexander, Carol
    Imeraj, Arben
    [J]. QUANTITATIVE FINANCE, 2021,
  • [2] Delta hedging bitcoin options with a smile
    Alexander, Carol
    Imeraj, Arben
    [J]. QUANTITATIVE FINANCE, 2023, 23 (05) : 799 - 817
  • [3] Regime-dependent smile-adjusted delta hedging
    Alexander, Carol
    Rubinov, Alexander
    Kalepky, Markus
    Leontsinis, Stamatis
    [J]. JOURNAL OF FUTURES MARKETS, 2012, 32 (03) : 203 - 229
  • [4] Smile-implied hedging with volatility risk
    Francois, Pascal
    Stentoft, Lars
    [J]. JOURNAL OF FUTURES MARKETS, 2021, 41 (08) : 1220 - 1240
  • [5] DELTA HEDGING AND RETURN
    Mastinsek, Miklavz
    [J]. PROCEEDINGS OF THE 10TH INTERNATIONAL SYMPOSIUM ON OPERATIONAL RESEARCH SOR 09, 2009, : 321 - 324
  • [6] Conservative delta hedging
    Mykland, PA
    [J]. ANNALS OF APPLIED PROBABILITY, 2000, 10 (02): : 664 - 683
  • [7] The price of a smile: Hedging and spanning in option markets
    Buraschi, A
    Jackwerth, J
    [J]. REVIEW OF FINANCIAL STUDIES, 2001, 14 (02): : 495 - 527
  • [8] Static hedging of barrier options with a smile: An inverse problem
    Bardos, C
    Douady, R
    Fursikov, A
    [J]. ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS, 2002, 8 (08) : 127 - 142
  • [9] Delta hedging strategies comparison
    De Giovanni, Domenico
    Ortobelli, Sergio
    Rachev, Svetlozar
    [J]. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2008, 185 (03) : 1615 - 1631
  • [10] Optimal delta hedging for options
    Hull, John
    White, Alan
    [J]. JOURNAL OF BANKING & FINANCE, 2017, 82 : 180 - 190