A profitable modification to global quadratic hedging

DOI10.1016/J.JEDC.2019.05.008MaRDI QIDQ2002668zbMATH OpenOpenAlexFDO

Authors Maciej Augustyniak, Frédéric Godin, Clarence Simard

Publication date 12 July 2019

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://spectrum.library.concordia.ca/985442/1/A-profitable-modification-to-global-quad_2019_Journal-of-Economic-Dynamics-a.pdf

zbMATH Keywords

global risk-minimizationLEAPSmean-variance hedgingrisk managementvariance-optimal hedging

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• An optimal multi-step quadratic risk-adjusted hedging strategy
• Optimal static quadratic hedging
• A guided tour through quadratic hedging approaches
• Quadratic hedging in affine stochastic volatility models
• On quadratic hedging in continuous time
• On Quadratic Cost Criteria for Option Hedging
• Quantile hedging
• Quadratic hedging schemes for non-Gaussian GARCH models

Cites work

• Dynamic programming and mean‐variance hedging in discrete time
• GARCH options via local risk minimization
• Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach
• Optimal hedging in discrete time
• Optimal hedging when the underlying asset follows a regime-switching Markov process
• Option pricing when underlying stock returns are discontinuous
• Quadratic hedging schemes for non-Gaussian GARCH models
• THE GARCH OPTION PRICING MODEL
• Variance-Optimal Hedging in Discrete Time
• Volatility components, affine restrictions, and nonnormal innovations

Cited in

(1)

• Deep hedging of long-term financial derivatives

This page was built for publication: A profitable modification to global quadratic hedging

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2002668)