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Pricing and hedging options on assets with options on related assets

Madan, Dilip B.; Wang, King - In: The journal of derivatives : JOD 29 (2021) 1, pp. 27-47

Persistent link: https://www.econbiz.de/10012612942

Pricing and Hedging Options on Assets with Options on Related Assets

Madan, Dilip B.; Wang, King - 2020

The problem studied is the pricing of options on the CBOE Skew index. The option pricing theory developed seeks to hedge the risk using positions in the market for options on a related asset and the option is then priced at the cost of this hedge. The theory is applied to pricing VIX options...

Persistent link: https://www.econbiz.de/10014095529

The multinomial option pricing model and its limits

Madan, Dilip B.; Milne, Frank - 1988

Persistent link: https://www.econbiz.de/10000753404

Analyse und Bewertung des Ausfallrisikos bei nicht börsengehandelten bedingten Finanzderivaten : eine spezifische Adaption des Value-at-Risk-Ansatzes

König, Alexander - In: Finanzierung, (pp. 65-80). 1997

Persistent link: https://www.econbiz.de/10001320742

Machine Learning for Quantitative Finance : Fast Derivative Pricing, Hedging and Fitting

De Spiegeleer, Jan - 2018

In this paper, we show how we can deploy machine learning techniques in the context of traditional quant problems. We illustrate that for many classical problems, we can arrive to speed-ups of several orders of magnitude by deploying machine learning techniques based on Gaussian process...

Persistent link: https://www.econbiz.de/10012917368

Adapted Hedging

Madan, Dilip B. - 2016

of time. The underlying process has a single parameter, the constant variance rate of the process. Delta hedging using … hedging. The hedging strategies are implemented for stylized businesses represented by dynamic volatility indexes. The … unity and the square. Numerous hedging strategies may be run using different powers and biases in the probability of an up …

Persistent link: https://www.econbiz.de/10012988873

Machine learning for quantitative finance : fast derivative pricing, hedging and fitting

De Spiegeleer, Jan; Madan, Dilip B.; Reyners, Sofie; … - In: Quantitative finance 18 (2018) 10, pp. 1635-1643

Persistent link: https://www.econbiz.de/10012259802

Applied conic finance

Madan, Dilip B.; Schoutens, Wim - 2016

numerous real-world applications, including portfolio theory, option positioning, hedging, and trading contexts. This book …-world applications, including portfolio theory, option positioning, hedging, and trading contexts. This book offers a quantitative and …

Persistent link: https://www.econbiz.de/10013547026

Joint Risk Neutral Laws and Hedging

Madan, Dilip B. - 2011

Complex positions on multiple underliers are hedged using the options surface of all underliers. Hedging objectives …

Persistent link: https://www.econbiz.de/10013133573

Hedging contingent claims on semimartingales

Jarrow, Robert; Madan, Dilip B. - In: Finance and stochastics 3 (1999) 1, pp. 111-134

Persistent link: https://www.econbiz.de/10001367662

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