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Abstract The goal of this work is to examine the static replication of path-dependent derivatives such as realized variance swaps, using more standard products such as forward-start binary (i.e. digital) double calls and puts. We first examine, following Carr and Madan (2002), the static...
Abstract Ribeiro and Webber (2006) propose a method to correct for simulation bias in the Monte Carlo valuation of options with pay-offs depending on the extreme value(s) of the underlying which is driven by a special Lévy process, namely a normal inverse Gaussian (NIG) or a variance gamma (VG)...
Abstract This paper considers a modified constant elasticity of variance (MCEV) model. This model uses the familiar constant elasticity of variance form for the volatility of the growth optimal portfolio (GOP) in a continuous market. It leads to a GOP that follows the power of a time-transformed...
Abstract The classical option hedging problems have mostly been studied under continuous-time or equally spaced discrete-time models, which ignore two important components in the actual price: random trading times and market microstructure noise. In this paper, we study optimal hedging...
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