Hedging using simulation: a least squares approach

DOI10.1016/J.JEDC.2004.07.006MaRDI QIDQ956433zbMATH OpenOpenAlexFDO

Authors C. Tebaldi

Publication date 25 November 2008

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

Full work available at URL https://doi.org/10.1016/j.jedc.2004.07.006

zbMATH Keywords

Malliavin calculusleast squares regressionAmerican optionshedgingsimulation methods

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

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• CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
• Estimating Security Price Derivatives Using Simulation
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• Smart Monte Carlo: various tricks using Malliavin calculus
• The pricing of options and corporate liabilities
• The valuation of American barrier options using the decomposition technique
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• WIENER CHAOS: A NEW APPROACH TO OPTION HEDGING
• White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance

Cited in

(7)

• scientific article; zbMATH DE number 6750138 (Why is no real title available?)
• It only takes a few moments to hedge options
• Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation
• Cross-hedging minimum return guarantees: basis and liquidity risks
• Pricing and hedging American-style options: a simple simulation-based approach
• The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling
• Estimating residual hedging risk with least-squares Monte Carlo

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