Quantitative Finance, Volume 13, Issue 6 (2013)

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Quantitative Finance, Volume 13, Issue 6 (2013)

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Themed Issue on Option Pricing and Hedging

Features

Article
Optimal hedging in discrete time
Bruno Rémillard & Sylvain Rubenthaler
Pages: 819-825
Published online: 06 Jun 2013
First Page PreviewforOptimal hedging in discrete time | Full Text | References | PDF (1.4 MB)
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Article
Good deals in markets with friction
ALEJANDRO BALBÁS, BEATRIZ BALBÁS & RAQUEL BALBÁS
Pages: 827-836
Published online: 06 Jun 2013
First Page PreviewforGood deals in markets with friction | Full Text | References | PDF (243.1 KB)
  • 199 Views
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Book review

Book Review
The Theory That Would Not Die
Maurizio Ferconi
Pages: 837-838
Published online: 16 May 2013
CitationforThe Theory That Would Not Die | Full Text | PDF (115.9 KB)
  • 216 Views
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Free Access

Calendar

Calendar
Page: 839
Published online: 06 Jun 2013
CitationforCalendar | Full Text | PDF (379.8 KB)
  • 34 Views
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Research Papers

Article
Pricing Bermudan options using low-discrepancy mesh methods
PHELIM P. BOYLE, ADAM W. KOLKIEWICZ & KEN SENG TAN
Pages: 841-860
Published online: 17 May 2013
AbstractforPricing Bermudan options using low-discrepancy mesh methods | Full Text | References | PDF (470.2 KB)
  • 288 Views
  • 8 CrossRef citations
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Article
A new sampling strategy willow tree method with application to path-dependent option pricing
Wei Xu, Zhiwu Hong & Chenxiang Qin
Pages: 861-872
Published online: 20 Mar 2013
AbstractforA new sampling strategy willow tree method with application to path-dependent option pricing | Full Text | References | PDF (370.4 KB)
  • 411 Views
  • 13 CrossRef citations
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Article
A multi-dimensional local average lattice method for multi-asset models
Kyoung-Sook Moon & Hongjoong Kim
Pages: 873-884
Published online: 15 Feb 2013
AbstractforA multi-dimensional local average lattice method for multi-asset models | Full Text | References | PDF (523.3 KB)
  • 215 Views
  • 3 CrossRef citations
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Article
A simple iterative method for the valuation of American options
In Joon Kim, Bong-Gyu Jang & Kyeong Tae Kim
Pages: 885-895
Published online: 03 Aug 2012
AbstractforA simple iterative method for the valuation of American options | Full Text | References | PDF (280.7 KB)
  • 699 Views
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Article
The exact smile of certain local volatility models
Matthew Lorig
Pages: 897-905
Published online: 16 May 2013
AbstractforThe exact smile of certain local volatility models | Full Text | References | PDF (279.5 KB)
  • 215 Views
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Article
On the computation of option prices and Greeks under the CEV model
MANUELA LARGUINHO, JOSÉ CARLOS DIAS & CARLOS A. BRAUMANN
Pages: 907-917
Published online: 16 May 2013
AbstractforOn the computation of option prices and Greeks under the CEV model | Full Text | References | PDF (173.5 KB)
  • 711 Views
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Article
Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation
S. T. Tse & Justin W. L. Wan
Pages: 919-937
Published online: 03 Aug 2012
AbstractforLow-bias simulation scheme for the Heston model by Inverse Gaussian approximation | Full Text | References | PDF (766.1 KB)
  • 246 Views
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Article
On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model
Sai Hung Marten Ting & Christian-Oliver Ewald
Pages: 939-954
Published online: 19 Jul 2012
AbstractforOn the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model | Full Text | References | PDF (742.6 KB)
  • 216 Views
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Article
Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates
REHEZ AHLIP & MAREK RUTKOWSKI
Pages: 955-966
Published online: 16 May 2013
AbstractforPricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates | Full Text | References | PDF (184.9 KB)
  • 822 Views
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Article
A new class of Bayesian semi-parametric models with applications to option pricing
Marcin Kacperczyk, Paul Damien & Stephen G. Walker
Pages: 967-980
Published online: 23 Aug 2012
AbstractforA new class of Bayesian semi-parametric models with applications to option pricing | Full Text | References | PDF (1.3 MB)
  • 344 Views
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