Optimization of covered calls under uncertainty

DOI10.1007/S11081-020-09492-0MaRDI QIDQ2218910zbMATH OpenOpenAlexFDO

Authors Mauricio Diaz, Roy H. Kwon

Publication date 18 January 2021

Published in Optimization and Engineering (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11081-020-09492-0

zbMATH Keywords

optionsportfolio optimizationstochastic programmingutility optimizationprogressive hedgingcovered call

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic programming (90C15)

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Cites work

• scientific article; zbMATH DE number 1233792 (Why is no real title available?)
• A heuristic for moment-matching scenario generation
• Generalized autoregressive conditional heteroscedasticity
• Lectures on Stochastic Programming
• Obtaining lower bounds from the progressive hedging algorithm for stochastic mixed-integer programs
• Optimization of covered call strategies
• Progressive hedging innovations for a class of stochastic mixed-integer resource allocation problems
• Risk Aversion in the Small and in the Large
• Scenario grouping in a progressive hedging-based meta-heuristic for stochastic network design
• Scenarios and Policy Aggregation in Optimization Under Uncertainty

Cited in

(3)

• Optimal liquidation of a call spread
• Optimal policies of call with notice period requirement
• Optimization of covered call strategies

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