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Superreplication in stochastic volatility models and optimal stopping

Frey, Rüdiger - In: Finance and stochastics 4 (2000) 2, pp. 161-187

Persistent link: https://www.econbiz.de/10001486701

Superreplication in stochastic volatility models and optimal stopping

Frey, Rüdiger - 1998

Persistent link: https://www.econbiz.de/10000993233

Derivative asset analysis in models with level-dependent and stochastic volatility

Frey, Rüdiger - 1997

Persistent link: https://www.econbiz.de/10000959999

Market volatility and feedback effects from dynamic hedging

Frey, Rüdiger - 1995

Persistent link: https://www.econbiz.de/10000908124

Market Volatility and Feedback Effects from Dynamic Hedging

Frey, Rüdiger; Stremme, Alexander - University of Bonn, Germany - 1995

In this paper we analyze in what way the demand generated by dynamic hedging strategies affects the equilibrium prices of the underlying asset. We derive an explicit expression for the transformation of market volatility under the impact of hedging. It turns out that market volatility increases...

Persistent link: https://www.econbiz.de/10004968246