Modeling and evaluation of the option book hedging problem using stochastic programming (Q5001128)
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scientific article; zbMATH DE number 7372399
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modeling and evaluation of the option book hedging problem using stochastic programming |
scientific article; zbMATH DE number 7372399 |
Statements
Modeling and evaluation of the option book hedging problem using stochastic programming (English)
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16 July 2021
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option hedging
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stochastic programming
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simulation
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local volatility surface
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empirical evaluation
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