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Scaling Limits for Exponential Hedging in the Brownian Framework
Xin Zhang / Yan Dolinksy
derivatives / mathematical financeResource overview

Scaling Limits for Exponential Hedging in the Brownian Framework

Paper2025

by Xin Zhang, Yan Dolinksy

Tags
derivativesmathematical financeoption pricing

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Suggested foundations for options and derivatives pricing. Specialist prerequisites vary by paper.

Before you read

  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

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  1. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

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