Dynamic, nonparametric hedging of European style contingent claims using canonical valuation
Author:
Publisher
Elsevier BV
Subject
Finance
Reference6 articles.
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2. Gray, P., Newman, S., 2004. Canonical valuation of options in the presence of stochastic volatility. Journal of Futures Markets. In press
3. A closed-form solution for options with stochastic volatility with applications to bond and currency options;Heston;Review of Financial Studies,1993
4. Pricing FTSE 100 index options under stochastic volatility;Lin;Journal of Futures Markets,2001
5. A simple nonparametric approach to derivative security valuation;Stutzer;Journal of Finance,1996
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3. Non-parametric American option valuation using Cressie–Read divergences;Australian Journal of Management;2016-04-20
4. Simulated testing of nonparametric measure changes for hedging European options;Finance Research Letters;2013-06
5. Testing Alternative Measure Changes in Nonparametric Pricing and Hedging of European Options;Journal of Futures Markets;2013-02-22
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