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q-fin.PR2019
Utility-based pricing and hedging of contingent claims in Almgren-Chriss model with temporary price impact
Ibrahim Ekren, Sergey Nadtochiy
In this paper, we construct the utility-based optimal hedging strategy for a European-type option in the Almgren-Chriss model with temporary price impact. The main mathematical cha…
q-fin.PR2016
Robust Trading of Implied Skew
Sergey Nadtochiy, Jan Obloj
In this paper, we present a method for constructing a (static) portfolio of co-maturing European options whose price sign is determined by the skewness level of the associated impl…
q-fin.PR2015
Simulation of Implied Volatility Surfaces via Tangent Levy Models
Rene Carmona, Yi Ma, Sergey Nadtochiy
In this paper, we implement and test two types of market-based models for European-type options, based on the tangent Levy models proposed recently by R. Carmona and S. Nadtochiy.…