Efficient hedging of path-dependent options

DOI10.1142/S0219024916500321MaRDI QIDQ2816961zbMATH OpenOpenAlexFDO

Authors Adam W. Kolkiewicz

Publication date 26 August 2016

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

Full work available at URL https://doi.org/10.1142/s0219024916500321

zbMATH Keywords

hedgingpath-dependent optionsshortfall risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Optimal hedging of path-dependent options in dicalete time incomplete market
• On suboptimality of delta hedging for Asian options
• scientific article; zbMATH DE number 6305801
• Simplified hedge for path-dependent derivatives
• Asymptotically efficient discrete hedging

Cites work

• scientific article; zbMATH DE number 4085365 (Why is no real title available?)
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• On suboptimality of delta hedging for Asian options
• Semi-static hedging for GMWB in variable annuities

Cited in

(13)

• Efficient hedging of options with probabilistic Haar wavelets
• Hedging variance options on continuous semimartingales
• Optimal hedging of path-dependent options in dicalete time incomplete market
• Path averaged option value criteria for selecting better options
• Simplified hedge for path-dependent derivatives
• Efficient Computation of Hedging Parameters for Discretely Exercisable Options
• Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs
• The efficient hedging problem for American options
• scientific article; zbMATH DE number 6305801 (Why is no real title available?)
• Efficient option risk measurement with reduced model risk
• On suboptimality of delta hedging for Asian options
• Tractable hedging with additional hedge instruments
• Variance-optimal hedging for Asian options under independent increments processes

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