Delta hedging in discrete time under stochastic interest rate-Reference-Cited by-同舟云学术

Delta hedging in discrete time under stochastic interest rate

Published:2014-03 Issue: Volume:259 Page:385-393
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Angelini Flavio,Herzel Stefano

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference10 articles.

1. Measuring the error of dynamic hedging: a laplace transform approach;Angelini;Journal of Computational Finance,2009

2. Evaluating discrete dynamic strategies in affine models;Angelini;Quantitative Finance,2012

3. Transform analysis and asset pricing for affine jump-diffusions;Duffie;Econometrica,2000

4. Variance-optimal hedging for processes with stationary independent increments;Hubalek;Annals of Applied Probability,2006

5. Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility;van Haastrecht;Insurance: Mathematics and Economics,2009

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