ON THE PROFIT AND LOSS DISTRIBUTION OF DYNAMIC HEDGING STRATEGIES

DOI10.1142/S0219024999000108MaRDI QIDQ3523520zbMATH OpenOpenAlexFDO

Authors Sergei E. Esipov, I. Vaysburd

Publication date 3 September 2008

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

Full work available at URL https://doi.org/10.1142/s0219024999000108

zbMATH Keywords

basis riskhedgingprofit and loss distributionstop-loss

Mathematics Subject Classification ID

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Approximating random variables by stochastic integrals
• Approximation pricing and the variance-optimal martingale measure
• Forward, backward and symmetric stochastic integration
• Hedging contingent claims with constrained portfolios
• Mean-variance hedging for general claims
• Mean-variance hedging in continuous time
• Variance-Optimal Hedging in Discrete Time

Cited in

(4)

• The modified sequential hedging strategy: hedger's loss distribution
• An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs
• THE END-OF-THE-YEAR BONUS: HOW TO OPTIMALLY REWARD A TRADER?
• AN INFINITESIMAL ANALYSIS OF THE STOP-LOSS-START-GAIN STRATEGY

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