15 citations · 66 across the 31 of their papers we have counts for
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q-fin.PR2012★ 1 cited
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…
q-fin.PR2012
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…
q-fin.PR2012★ 1 cited
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…