Hedging exotic derivatives through stochastic optimization

DOI10.1016/S0165-1889(98)00021-9MaRDI QIDQ1274222zbMATH OpenFDO

Authors Patrick Hénaff

Publication date 12 January 1999

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

Full work available at URL https://doi.org/10.1016/S0165-1889(98)00021-9

zbMATH Keywords

decompositionhedging financial instrumentsstochastic optimization

Mathematics Subject Classification ID

Stochastic programming (90C15) Applications of mathematical programming (90C90)

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Cites work

• Asymmetric risk measures and tracking models for portfolio optimization under uncertainty
• Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case¹
• Partitioning procedures for solving mixed-variables programming problems

Cited in

(6)

• Malliavin calculus in construction of hedging portfolio for the Heston model of a financial market
• WIENER CHAOS: A NEW APPROACH TO OPTION HEDGING
• Optimal Execution of Derivatives: A Taylor Expansion Approach
• Modeling and evaluation of the option book hedging problem using stochastic programming
• Static hedging and pricing of exotic options with payoff frames
• A stochastic programming model for currency option hedging

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