Dynamic programming and hedging strategies in discrete time

DOI10.1007/978-3-642-17254-0_22MaRDI QIDQ3112475zbMATH OpenOpenAlexFDO

Authors Shih-Feng Huang, Meihui Guo

Publication date 10 January 2012

Published in Handbook of Computational Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-17254-0_22

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Dynamic programming (90C39) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A Discrete Time Equivalent Martingale Measure
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• Efficient hedging: cost versus shortfall risk
• Empirical martingale simulation for asset prices
• Financial derivative valuation -- A dynamic semiparametric approach
• Generalized autoregressive conditional heteroscedasticity
• Local Expected Shortfall-Hedging in Discrete Time *
• On dynamic measure of risk
• Put-call symmetry: extensions and applications
• THE GARCH OPTION PRICING MODEL
• The pricing of options and corporate liabilities
• Valuation of Multidimensional Bermudan Options

Cited in

(5)

• Quadratic hedging schemes for non-Gaussian GARCH models
• A dynamic programming approach for pricing CDS and CDS options
• scientific article; zbMATH DE number 2062291 (Why is no real title available?)
• Evaluating discrete dynamic strategies in affine models
• Lattice-based hedging schemes under GARCH models

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