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A comparison of two quadratic approaches to hedging in incomplete markets

Heath, David C.; Platen, Eckhard; Schweizer, Martin - In: Mathematical finance : an international journal of … 11 (2001) 4, pp. 385-413

Persistent link: https://www.econbiz.de/10001620447

Local volatility function models under a benchmark approach

Heath, David C.; Platen, Eckhard - 2004

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Option pricing under incompleteness and stochastic volatility

Hofmann, Norbert - 1992

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On feedback effects from hedging derivatives

Platen, Eckhard - In: Mathematical finance : an international journal of … 8 (1998) 1, pp. 67-84

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Does More Frequent Trading Increase the Volatility? – Theoretical Evidence at Asset and Portfolio Level

Hong, KiHoon Jimmy - Finance Discipline Group, Business School - 2013

This paper investigates the sensitivity of asset and portfolio price volatility with respect to the minimum available trading interval that the price is quoted. The objective of the study is to find the theoretical impact of high frequency trading on asset and portfolio volatilities, using a...

Persistent link: https://www.econbiz.de/10010883507