Static hedging and pricing of exotic options with payoff frames
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DOI: 10.1111/mafi.12184
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Citations
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Cited by:
- Jean-Philippe Aguilar, 2021. "The value of power-related options under spectrally negative Lévy processes," Review of Derivatives Research, Springer, vol. 24(2), pages 173-196, July.
- Svetlana Boyarchenko & Sergei Levendorskiĭ, 2020.
"Static and semistatic hedging as contrarian or conformist bets,"
Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 921-960, July.
- Svetlana Boyarchenko & Sergei Levendorskii, 2019. "Static and semi-static hedging as contrarian or conformist bets," Papers 1902.02854, arXiv.org.
- Cui, Zhenyu & Kirkby, J. Lars & Nguyen, Duy, 2021. "A data-driven framework for consistent financial valuation and risk measurement," European Journal of Operational Research, Elsevier, vol. 289(1), pages 381-398.
- Lee, Hangsuck & Ko, Bangwon & Lee, Minha, 2023. "The pricing and static hedging of multi-step double barrier options," Finance Research Letters, Elsevier, vol. 55(PA).
- Lee, Hangsuck & Choi, Yang Ho & Lee, Gaeun, 2022. "Multi-step barrier products and static hedging," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
- Cui, Zhenyu & Kirkby, J. Lars & Nguyen, Duy, 2021. "Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations," European Journal of Operational Research, Elsevier, vol. 290(3), pages 1046-1062.
- Samuel N. Cohen & Christoph Reisinger & Sheng Wang, 2022. "Hedging option books using neural-SDE market models," Papers 2205.15991, arXiv.org.
- J. Lars Kirkby & Shi-Jie Deng, 2019. "Swing Option Pricing By Dynamic Programming With B-Spline Density Projection," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(08), pages 1-53, December.
- Kirkby, J. Lars, 2023. "Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation," European Journal of Operational Research, Elsevier, vol. 305(2), pages 961-978.
- J. Lars Kirkby & Duy Nguyen, 2020. "Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models," Annals of Finance, Springer, vol. 16(3), pages 307-351, September.
- Svetlana Boyarchenko & Sergei Levendorskiä¬ & J. Lars Kyrkby & Zhenyu Cui, 2021.
"Sinh-Acceleration For B-Spline Projection With Option Pricing Applications,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 24(08), pages 1-50, December.
- Svetlana Boyarchenko & Sergei Levendorskiu{i} & J. Lars Kirkby & Zhenyu Cui, 2021. "SINH-acceleration for B-spline projection with Option Pricing Applications," Papers 2109.08738, arXiv.org.
- Kirkby, J. Lars & Leitao, Álvaro & Nguyen, Duy, 2021. "Nonparametric density estimation and bandwidth selection with B-spline bases: A novel Galerkin method," Computational Statistics & Data Analysis, Elsevier, vol. 159(C).
- Kirkby, J. Lars & Mitra, Sovan & Nguyen, Duy, 2020. "An analysis of dollar cost averaging and market timing investment strategies," European Journal of Operational Research, Elsevier, vol. 286(3), pages 1168-1186.
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