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Tan, A. (2005) Long Memory Stochastic Volatility and a Risk Minimization Approach for Derivative Pricing an Hedging. Ph.D. Thesis, School of Mathematics, University of Manchester, Manchester.

has been cited by the following article:

• TITLE: The Optimal Hedge Ratio in Option Pricing: The Case of Exponentially Truncated Lévy Stable Distribution

  AUTHORS: Gigel Busca, Emmanuel Haven, Franck Jovanovic, Christophe Schinckus

  KEYWORDS: Hedge Ratio, Lévy Stable Distribution, Exponentially Truncated Distribution, Econophysics

  JOURNAL NAME: Theoretical Economics Letters, Vol.4 No.9, November 21, 2014

  ABSTRACT: In financial option pricing, the stable Lévy framework is a problematic issue because of its (theoretical) infinite invariance. This paper deals with the integration of these processes into option pricing by defining the minimal theoretical condition required for an optimal risk hedging based on a stable Lévy framework with an exponentially truncated distribution.