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q-fin.CP2019
Gauge transformations in the dual space, and pricing and estimation in the long run in affine jump-diffusion models
Svetlana Boyarchenko, Sergei Levendorskiĭ
We suggest a simple reduction of pricing European options in affine jump-diffusion models to pricing options with modified payoffs in diffusion models. The procedure is based on th…
q-fin.CP2019
Static and semi-static hedging as contrarian or conformist bets
Svetlana Boyarchenko, Sergei Levendorskii
In this paper, we argue that, once the costs of maintaining the hedging portfolio are properly taken into account, semi-static portfolios should more properly be thought of as sepa…