An explicit option-based strategy that outperforms dollar cost averaging

DOI10.1142/S0219024912500136MaRDI QIDQ2882689zbMATH OpenFDO

Authors Steven Vanduffel, Ales Ahcan, Mateusz Maj, Luc Henrard

Publication date 7 May 2012

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

Full work available at URL https://doi.org/10.1142/S0219024912500136

zbMATH Keywords

Brownian bridgeEsscher transformhedgingJensen's inequalityLévy processminimal guarantee

Mathematics Subject Classification ID

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

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Cites work

• A CONTINUOUS-TIME REEXAMINATION OF DOLLAR-COST AVERAGING
• A note on the suboptimality of path-dependent pay-offs in Lévy markets
• Analytic bounds and approximations for annuities and Asian options
• Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables
• Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation
• Bounds and approximations for sums of dependent log-elliptical random variables
• Bounds for Asian basket options
• Bounds for some general sums of random variables
• Financial Modelling with Jump Processes
• Improving the Design of Financial Products in a Multidimensional Black-Scholes Market
• Martingales and arbitrage in multiperiod securities markets
• On dynamic investment strategies
• Optimal design of the guarantee for defined contribution funds
• PRICING AND HEDGING OF CDO-SQUARED TRANCHES BY USING A ONE FACTOR LÉVY MODEL
• Stochastic volatility, jumps and hidden time changes
• The design of equity-indexed annuities
• The Dual Theory of Choice under Risk
• The value of an Asian option
• Theory of games and economic behavior.
• Transaction costs and efficiency of portfolio strategies

Cited in

(14)

• 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
• Dollar Cost Averaging
• Optimal portfolio under state-dependent expected utility
• On the Method of Optimal Portfolio Choice by Cost-Efficiency
• Option overlay strategies
• Construction and hedging of optimal payoffs in Lévy models
• Optimal claims with fixed payoff structure
• A CONTINUOUS-TIME REEXAMINATION OF DOLLAR-COST AVERAGING
• DOLLAR COST AVERAGING RETURNS ESTIMATION
• WITHDRAWAL SUCCESS ESTIMATION
• Should you stop investing in a sinking fund when it is sinking?

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