1 citations · 2 across the 4 of their papers we have counts for
4 papers
Pricing Illiquid Options with Liquid Proxies Using Mixed Dynamic-Static Hedging
I. Halperin, A. Itkin
We study the problem of optimal pricing and hedging of a European option written on an illiquid asset using a set of proxies: a liquid asset , and liquid European option…
New solvable stochastic volatility models for pricing volatility derivatives
Andrey Itkin
Classical solvable stochastic volatility models (SVM) use a CEV process for instantaneous variance where the CEV parameter takes just few values: 0 - the Ornstein-Uhlenbeck pro…
Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging
Igor Halperin, Andrey Itkin
This work addresses the problem of optimal pricing and hedging of a European option on an illiquid asset Z using two proxies: a liquid asset S and a liquid European option on anoth…
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
Andrey Itkin, Peter Carr
In mathematical finance a popular approach for pricing options under some Levy model is to consider underlying that follows a Poisson jump diffusion process. As it is well known th…