Imagen de Portada

Scaling Limits for Exponential Hedging in the Brownian Framework

Fuente: arXiv

Guardado en:

Detalles Bibliográficos
Autores principales:	Dolinksy, Yan, Zhang, Xin
Formato:	Preprint
Publicado:	2025
Materias:	Probability Optimization and Control Mathematical Finance Pricing of Securities
Acceso en línea:	Acceder al recurso
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

Ejemplares similares

Super-hedging-pricing formulas and Immediate-Profit arbitrage for market models under random horizon
por: Choulli, Tahir, et al.
Publicado: (2024)

European Options in Market Models with Multiple Defaults: the BSDE approach
por: Grigorova, Miryana, et al.
Publicado: (2026)

Bid--Ask Martingale Optimal Transport
por: Liang, Bryan, et al.
Publicado: (2026)

Learning to Optimally Stop Diffusion Processes, with Financial Applications
por: Dai, Min, et al.
Publicado: (2024)

Signature approach for pricing and hedging path-dependent options with frictions
por: Jaber, Eduardo Abi, et al.
Publicado: (2025)

An extended CIR process with stochastic discontinuities
por: Fontana, Claudio, et al.
Publicado: (2025)

Berms without Calibration
por: Feldman, K. E.
Publicado: (2025)

Heat modulated affine stochastic volatility models for forward curve dynamics
por: Karbach, Sven
Publicado: (2024)

Dynamic Asset Pricing Theory for Life Contingent Risks
por: Ling, Patrick
Publicado: (2025)

Risk-indifference Pricing of American-style Contingent Claims
por: Kumar, Rohini, et al.
Publicado: (2024)

Numerical approximations of McKean Anticipative Backward Stochastic Differential Equations arising in Initial Margin requirements
por: Agarwal, A., et al.
Publicado: (2024)

Hedging via Perpetual Derivatives: Trinomial Option Pricing and Implied Parameter Surface Analysis
por: Gnawali, Jagdish, et al.
Publicado: (2024)

Automated Market Making and Loss-Versus-Rebalancing
por: Milionis, Jason, et al.
Publicado: (2022)

Revisiting Stochastic Collocation with Exponential Splines for an Arbitrage-Free Interpolation of Option Prices
por: Floc'h, Fabien Le
Publicado: (2025)

Automated Market Making and Arbitrage Profits in the Presence of Fees
por: Milionis, Jason, et al.
Publicado: (2023)

Hedge Error Analysis In Black Scholes Option Pricing Model: An Asymptotic Approach Towards Finite Difference
por: Rakshit, Agni, et al.
Publicado: (2024)

Risk-Neutral Generative Networks
por: Xian, Zhonghao, et al.
Publicado: (2024)

Risk-neutral valuation of options under arithmetic Brownian motions
por: Liu, Qiang, et al.
Publicado: (2024)

Stochastic Volatility Model with Sticky Drawdown and Drawup Processes: A Deep Learning Approach
por: Liu, Yuhao, et al.
Publicado: (2025)

A Causation-Based Framework for Pricing and Cost Allocation of Energy, Reserves, and Transmission in Modern Power Systems
por: Ribeiro, Luiza, et al.
Publicado: (2025)

Fair sharing ratios of Profit and Loss sharing contracts
por: Sagna, Abass
Publicado: (2025)

Extrema, Barrier Options, and Semi-Analytic Leverage Corrections in Stochastic-Clock Volatility Models
por: Guillaume, Tristan
Publicado: (2026)

Handling model risk with XVAs
por: Bénézet, Cyril, et al.
Publicado: (2022)

American option pricing using generalised stochastic hybrid systems
por: Buckwar, Evelyn, et al.
Publicado: (2024)

Stochastic Policy Gradient Methods in the Uncertain Volatility Model
por: Abbas-Turki, Lokman A, et al.
Publicado: (2026)

Pricing of barrier options by marginal functional quantization
por: Sagna, Abass
Publicado: (2010)

Designing funding rates for perpetual futures in cryptocurrency markets
por: Kim, Jaehyun, et al.
Publicado: (2025)

Asian Basket Spread Options: A New Approximation Based on Stochastic Taylor Expansions
por: Floc'h, Fabien Le
Publicado: (2025)

Amortizing Perpetual Options
por: Feinstein, Zachary
Publicado: (2025)

The Volterra Stein-Stein model with stochastic interest rates
por: Jaber, Eduardo Abi, et al.
Publicado: (2025)

Explicit local volatility formula for Cheyette-type interest rate models
por: Gairat, Alexander, et al.
Publicado: (2025)

Analytic Pricing of SOFR Futures Contracts with Smile and Skew
por: Romero-Bermúdez, Aurelio, et al.
Publicado: (2024)

Understanding Short-Term Implied Volatility Dynamics: A Model-Independent Approach Beyond Stochastic Volatility
por: Cheng, Liexin, et al.
Publicado: (2024)

VIX and European options with jumps in the short-maturity regime
por: Guo, Desen, et al.
Publicado: (2026)

Unifying Market Microstructure and Dynamic Asset Pricing
por: Lauria, Davide, et al.
Publicado: (2023)

HJM Local Volatility Model
por: Belyaev, V. M.
Publicado: (2023)

Perpetual Futures Pricing
por: Ackerer, Damien, et al.
Publicado: (2023)

SABR Type Libor (Forward) Market Model (SABR/LMM) with time-dependent skew and smile
por: Tsuchiya, Osamu
Publicado: (2026)

Joint Pricing in SPX and VIX Derivative Markets with Composite Change of Time Models
por: Cheng, Liexin, et al.
Publicado: (2024)

Risk-Neutral Pricing Model of Uniswap Liquidity Providing Position: A Stopping Time Approach
por: Hou, Liang, et al.
Publicado: (2024)