Optimization of covered calls under uncertainty

DOI10.1007/S11081-020-09492-0zbMATH Open1457.62331OpenAlexW3009526543MaRDI QIDQ2218910FDOQ2218910

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

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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)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Lectures on Stochastic Programming
• Scenarios and Policy Aggregation in Optimization Under Uncertainty
• Risk Aversion in the Small and in the Large
• A heuristic for moment-matching scenario generation
• Obtaining lower bounds from the progressive hedging algorithm for stochastic mixed-integer programs
• Scenario grouping in a progressive hedging-based meta-heuristic for stochastic network design
• Progressive hedging innovations for a class of stochastic mixed-integer resource allocation problems
• Title not available (Why is that?)
• Optimization of covered call strategies

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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