{"entities":{"Q2296440":{"pageid":2307183,"ns":120,"title":"Item:Q2296440","lastrevid":57281901,"modified":"2026-03-27T20:28:36Z","type":"item","id":"Q2296440","labels":{"en":{"language":"en","value":"Pricing of proactive hedging European option with dynamic discrete position strategy"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 7168876"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2296440$9A702763-26A2-47C2-BCA9-25125CDE7208","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"a21ed59a1db3df90ae15417f933823256e9d2d2d","datavalue":{"value":{"text":"Pricing of proactive hedging European option with dynamic discrete position strategy","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q2296440$3854F0F1-1115-4E4F-BD97-D0BEC81D5E54","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"ec0c1d1fc2614ba02da950b6de020096d22628b0","datavalue":{"value":"1453.91097","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2296440$5B237E79-D8AD-47FD-BD65-70BB65CFAECD","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"0d91f3c6a3a5e9ec9261eb97919853f54471d08d","datavalue":{"value":"10.1155/2019/1070873","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2296440$B1FA4D2A-5734-4123-B096-0CD29239F6B1","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"cc45e6b9322bed7360e4aac2a42f8c73614b44f3","datavalue":{"value":{"entity-type":"item","numeric-id":1787138,"id":"Q1787138"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2296440$B0C77378-D7A6-4C48-AB47-E5E4AAE6B1A0","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"e5ea7bc024fe2946ca15646035f056e2ab96db7a","datavalue":{"value":{"entity-type":"item","numeric-id":169945,"id":"Q169945"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2296440$CE840FCA-D478-41BD-A446-96E69AD38479","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"05c57a87dbc53c05445a3141681500035fc1e9f8","datavalue":{"value":{"time":"+2020-02-18T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q2296440$A1AC3548-2797-4D9C-8888-077BBFDE73C9","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"6af7d5897d661634fa87394165b32ea5d35a5bf8","datavalue":{"value":"Summary: Proactive hedging European option is an exotic option for hedgers in the options market proposed recently by Wang et al. It extends the classical European option by requiring option holders to continuously trade in underlying assets according to a predesigned trading strategy, to proactively hedge part of the potential risk from underlying asset price changes. To generalize this option design for practical application, in this study, a proactive hedging option with discrete trading strategy is developed and its pricing formula is deducted assuming the underlying asset price follows Geometric Fractional Brownian Motion. Simulation studies show that proactive hedging option with discrete trading strategy still enjoys strong price advantage compared to the classical European option for majority of parameter space. The observed price advantage is stronger when the underlying asset has more volatility or when the asset price follows closer to Geometric Brownian Motion. Additionally, we found that a higher frequency trading strategy has stronger price advantage if there is no trading cost. The findings in this research strongly facilitate the practical application of the proactive hedging option, making this lower-cost trading tool more feasible.","type":"string"},"datatype":"string"},"type":"statement","id":"Q2296440$78CC62A7-A988-4076-9AEC-F2F72B21BF94","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"82cd6ba3de809c77ad4ab5a51dd4d14c3b158a01","datavalue":{"value":"91G20","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2296440$351967AC-B5B9-42E8-BCED-68566B4894F8","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"e1ee10fd3977002d1d997e70e7bef7086d8e5d92","datavalue":{"value":"7168876","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2296440$8FD607C7-2B0D-4F18-A0AE-3CA6DA16A9CD","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2296440$05B0046D-0207-447B-AA54-29E992A46B13","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"28357bf615e44c14983374f077ebb0187a377f12","datavalue":{"value":"https://doi.org/10.1155/2019/1070873","type":"string"},"datatype":"url"},"type":"statement","id":"Q2296440$D12717D5-9DBB-42B9-AD62-DD776902AFB9","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"244791bae67c3c12137dc5a48f3a3bd12ce87f28","datavalue":{"value":"W2927326734","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2296440$94E4DE8D-2ECB-4161-B3A9-B64019429ACB","rank":"normal"}],"P223":[{"mainsnak":{"snaktype":"value","property":"P223","hash":"5fe9c17de3b376ab749a5b0905608bf5229826b6","datavalue":{"value":{"entity-type":"item","numeric-id":4830584,"id":"Q4830584"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2296440$43C61160-C1B8-4EC7-B485-4E31474F8D6F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"f4508c51bc9d10b48af851afc549b24c095e2adf","datavalue":{"value":{"entity-type":"item","numeric-id":3635143,"id":"Q3635143"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2296440$61375F96-D42F-4AFE-B59D-EED266DD174F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"ad486aa6aad7230d188c42d9edcf220778eb677d","datavalue":{"value":{"entity-type":"item","numeric-id":4906520,"id":"Q4906520"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2296440$C528120C-C69B-49A6-B96B-6B52F59C0996","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"f43c9021c4d1fd88125895b0cfb6855502a879cc","datavalue":{"value":{"entity-type":"item","numeric-id":3502161,"id":"Q3502161"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2296440$711F3465-4CE6-4E39-AD03-6BFE27F57421","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"2124d3c57448c316901693cf6b4f48963462a2fd","datavalue":{"value":{"entity-type":"item","numeric-id":5455259,"id":"Q5455259"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2296440$B4729991-FD80-4E59-8B2C-1E9254EFA0F4","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"8762a29e332e715d4b25cebdeabd184d669713e0","datavalue":{"value":{"entity-type":"item","numeric-id":2707192,"id":"Q2707192"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2296440$F3222170-CDE3-42B0-AE58-0716446756BE","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"e5cb815321cc32488adbf5046272360ef4dea3de","datavalue":{"value":{"entity-type":"item","numeric-id":4585895,"id":"Q4585895"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2296440$8866F81E-7A76-4EB3-B1FF-2B15BE0612A7","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"47dec1a112e37dba495ef959609c115e003e911f","datavalue":{"value":{"entity-type":"item","numeric-id":3424332,"id":"Q3424332"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2296440$66BCD9BD-3A34-4F23-9B8E-A8B9B4D2FD1B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"ab414377b74f67a8c74e0f85b12c390b0bef44fb","datavalue":{"value":{"entity-type":"item","numeric-id":508295,"id":"Q508295"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2296440$FDBB1D45-55E9-4770-86EF-67CE06E0D043","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"9d7467063db8b3839cb69eae56e471e2ad8b346b","datavalue":{"value":{"entity-type":"item","numeric-id":2321458,"id":"Q2321458"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2296440$A027A31B-CE0F-473A-A862-FD60209F4054","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"4968c302ad1ddc09f6003e461ddd985e40253f97","datavalue":{"value":{"entity-type":"item","numeric-id":1723398,"id":"Q1723398"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2296440$71EA16E7-59FD-424A-8EDA-7329ADBA4E4D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"08884317110d0e2a23098efbb887f74c48697c42","datavalue":{"value":{"entity-type":"item","numeric-id":1727009,"id":"Q1727009"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2296440$6E472E4C-8927-4730-A8BF-AADB2D081C0B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"52e9376ee9e81955859a1712d59080a004ad217a","datavalue":{"value":{"entity-type":"item","numeric-id":3043488,"id":"Q3043488"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2296440$377D8789-0694-49BC-9E87-63A3679474B2","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"9d458f9d40a2164b904160bd3a427cd146dacea7","datavalue":{"value":{"entity-type":"item","numeric-id":136004,"id":"Q136004"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2296440$AF49AC33-68D9-4112-84C4-2156BAABCE89","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"13c000d202243eef0fcc6e7ed35e94e91ee7a2cb","datavalue":{"value":{"entity-type":"item","numeric-id":5461112,"id":"Q5461112"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2296440$915467D3-4E4D-4EA6-8F58-295F80785DFC","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"f73e40bcfb806f89aa2f86bb0344f3f29bf39dc1","datavalue":{"value":{"entity-type":"item","numeric-id":2073577,"id":"Q2073577"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"316b49cfcdef455979f85ae91ad9cb21101999b0","datavalue":{"value":{"amount":"+0.92556226","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2296440$60376081-E2B3-426F-A29F-AD8F54953F04","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"dca7509cdcf9ba13908da1c400d25dcb331b2ee1","datavalue":{"value":{"entity-type":"item","numeric-id":1762679,"id":"Q1762679"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"fad8d4d5bb6146c2e61ebde59d78d831072e5b30","datavalue":{"value":{"amount":"+0.9166323","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2296440$E3304630-BB64-4F7A-B7BD-CC4FF12DFB51","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"c8c522775d4071eb31b02a1d31b41d63d2bc7e50","datavalue":{"value":{"entity-type":"item","numeric-id":1727009,"id":"Q1727009"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"49541475ce33bdc065b124619ce43e555eb21c0a","datavalue":{"value":{"amount":"+0.9133259","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2296440$3EA491D4-22FD-4648-8F61-0FCE333100C0","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"1f12e2c4b7f819b83b5e4d0f02bb4379b5e6b617","datavalue":{"value":{"entity-type":"item","numeric-id":2463721,"id":"Q2463721"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"8691549a235aa3d0af8581f1a07b299a8f11e9e3","datavalue":{"value":{"amount":"+0.90429175","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2296440$BE516525-E1D4-4E2E-8134-36D792B7A54E","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"0aa4611b20c8fa955eb321a847fa90c094b7029c","datavalue":{"value":{"entity-type":"item","numeric-id":3561058,"id":"Q3561058"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"fc2a0d4c7f359cb15bd6260ab253742b13a0da32","datavalue":{"value":{"amount":"+0.89831275","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2296440$5564520A-C4B5-41C9-AD9A-0A25075E6018","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"6ef469d9315185dbaea0d2f659da72d20bac2efb","datavalue":{"value":{"entity-type":"item","numeric-id":956487,"id":"Q956487"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"204b17093fa23334d7276ba97da07c40ef570b64","datavalue":{"value":{"amount":"+0.8896178","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2296440$38C9CAA5-2588-4941-B182-B920CDF57502","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"3b4288d038a40e59237de9e3ca7b8a8b496c1470","datavalue":{"value":{"entity-type":"item","numeric-id":1694668,"id":"Q1694668"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"5a2af60e76d4c0691dc785c79919696e68f9c6f1","datavalue":{"value":{"amount":"+0.8751058","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2296440$1D3B93ED-1BEE-4F4F-A872-8191BF5CCC0A","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"4a604884230920092149947ef031744f1dbf876b","datavalue":{"value":{"entity-type":"item","numeric-id":4218382,"id":"Q4218382"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"4b63b0b842a8f75540e875423b19c33b38ce10a8","datavalue":{"value":{"amount":"+0.8734256","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2296440$BFDE2DEB-4DCE-4779-BC93-C835502DA099","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"6449a02a0f996db1dfe902a0724bae0319b6f395","datavalue":{"value":{"entity-type":"item","numeric-id":2283686,"id":"Q2283686"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"3e5f63fa4e20ef463747975fcb9ac54d3664e699","datavalue":{"value":{"amount":"+0.86842763","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2296440$2911ED3D-A42D-4F33-97AA-3129E6DE90F3","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"e73e356271d8a13f83e156aa1969b6d3368ddec6","datavalue":{"value":{"entity-type":"item","numeric-id":850362,"id":"Q850362"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"7e110836fb32f62e46e55f658938cfad68762b8d","datavalue":{"value":{"amount":"+0.8672683","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2296440$890075F7-08FA-4C75-AA7D-31A4527AB7D5","rank":"normal"}],"P163":[{"mainsnak":{"snaktype":"value","property":"P163","hash":"45fcd4163b5f33e6e8c784f5522d7246c0a1a61e","datavalue":{"value":{"entity-type":"item","numeric-id":57056,"id":"Q57056"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2296440$B3AEA858-F42E-4CBB-8BBB-106796FBA3D2","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Publication:2296440","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Publication:2296440"}}}}}