Antonio Paras

TL;DR: In this paper, the authors present a model for pricing and hedging derivative securities and option portfolios in an environment where the volatility is not known precisely, but is assumed instead to lie between two extreme values σmin and σmax.

TL;DR: In this article, the authors present an algorithm for hedging option portfolios and custom-tailored derivative securities, which uses options to manage volatility risk, using a volatility band to model heteroskedasticity and a non-linear partial differential equation to evaluate worst-case volatility scenarios for any given forward liability structure.

TL;DR: In this paper, the authors introduce a new class of strategies for hedging derivative securities taking into account transaction costs, assuming lognormal continuous-time prices for the underlying asset, which can be used effectively in the presence of large transaction costs to control simultaneously hedge-slippage as well as hedging costs.

TL;DR: In this article, a sequence of trinomial trees in which an asset's price becomes lognormally distributed with given drift and a volatility between given sigma_min and sigma-max as the time between trades approaches zero is constructed.

TL;DR: In this article, the authors present an algorithm for hedging option portfolios and custom-tailored derivative securities which uses options to manage volatility risk using a volatility band to model heteroskedasticity and a non-linear partial differential equation to evaluate worst-case volatility scenarios for any given forward liability structure.