A two-step problem of hedging a European call option under a random duration of transactions

DOI10.1134/S0081543816090091zbMath1410.91454OpenAlexW2580165198MaRDI QIDQ2396374

A. I. Kibzun, V. R. Sobol'

Publication date: 8 June 2017

Published in: Proceedings of the Steklov Institute of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0081543816090091

zbMATH Keywords

dynamic programmingEuropean optionoption hedging

Mathematics Subject Classification ID

Dynamic programming (90C39) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Stochastic optimal control. The discrete time case
• Stochastic finance. An introduction in discrete time
• A nonlinear autoregressive conditional duration model with applications to financial transaction data

This page was built for publication: A two-step problem of hedging a European call option under a random duration of transactions