Robust Risk-Aware Option Hedging (Q6490769)

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scientific article; zbMATH DE number 7836412

Language	Label	Description	Also known as
English	Robust Risk-Aware Option Hedging	scientific article; zbMATH DE number 7836412

Statements

scholarly article

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Robust Risk-Aware Option Hedging (English)

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Sebastian Jaimungal

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Applied Mathematical Finance

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publication date

23 April 2024

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MaRDI profile type

MaRDI publication profile

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Coherent Measures of Risk

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Practical Augmented Lagrangian Methods for Constrained Optimization

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The Pricing of Options and Corporate Liabilities

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Nonparametric Kernel Density Estimation and Its Computational Aspects

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Optimal static-dynamic hedges for exotic options under convex risk measures

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Robust Risk-Aware Reinforcement Learning

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Robust deep hedging

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Efficient option replication in the presence of transactions costs

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Optimal transport for applied mathematicians. Calculus of variations, PDEs, and modeling

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An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs

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The Dual Theory of Choice under Risk

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Identifiers

10.1080/1350486x.2023.2301354

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:6490769

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