AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING

DOI10.1142/S0219024912500136zbMath1282.91349MaRDI QIDQ2882689

Steven Vanduffel, Aleš Ahčan, Mateusz Maj, Luc Henrard

Publication date: 7 May 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

hedging; Jensen's inequality; Brownian bridge; Lévy process; Esscher transform; minimal guarantee

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

OPTIMAL PORTFOLIO UNDER STATE-DEPENDENT EXPECTED UTILITY, On the Method of Optimal Portfolio Choice by Cost-Efficiency, Construction and Hedging of Optimal Payoffs in Lévy Models, Optimal claims with fixed payoff structure, DOLLAR COST AVERAGING RETURNS ESTIMATION, WITHDRAWAL SUCCESS ESTIMATION, Asian and Australian options: a common perspective, An analysis of dollar cost averaging and market timing investment strategies, Cost-efficiency in multivariate Lévy models, OPTIMALITY OF PAYOFFS IN LÉVY MODELS

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