Hochschulschrift
Second-order approximations to pricing and hedging in presence of jumps and stochastic volatility
- Location
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Deutsche Nationalbibliothek Frankfurt am Main
- Extent
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Online-Ressource
- Language
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Englisch
- Notes
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Kiel, Christian-Albrechts-Universität, Diss., 2013
- Keyword
-
Derivat
Bewertung
Hedging
Volatilität
Stochastischer Prozess
Kapitalmarkttheorie
Derivat
Termingeschäft
Bewertung
Hedging
Volatilität
Stochastischer Prozess
Kapitalmarkttheorie
Mathematik
- Event
-
Veröffentlichung
- (where)
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Kiel
- (who)
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Universitätsbibliothek Kiel
- (when)
-
2013
- Creator
- URN
-
urn:nbn:de:gbv:8-diss-119420
- Rights
-
Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
-
25.03.2025, 1:54 PM CET
Data provider
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Object type
- Hochschulschrift
Associated
- Denkl, Stephan
- Universitätsbibliothek Kiel
Time of origin
- 2013
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Second-order approximations to pricing and hedging in presence of jumps and stochastic volatility
Gains from second-order approximations
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Deep hedging under rough volatility
Hedging strategies under jump-induced market incompleteness
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Consistent pricing and hedging volatility derivatives with two volatility surfaces
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Second-order approximations to pricing and hedging in presence of jumps and stochastic volatility
Gains from second-order approximations
Hedging Exotic Options in Stochastic Volatility and Jump Diffusion Models
Deep hedging under rough volatility
Hedging strategies under jump-induced market incompleteness
An application of second-order approximations for the green's functions
Efficient hedging for a complete jump-diffusion model
Efficient hedging for a complete jump-diffusion model
Hedging in affine stochastic volatility models
Consistent pricing and hedging volatility derivatives with two volatility surfaces
A Note on Delta Hedging in Markets with Jumps