The modified sequential hedging strategy: hedger's loss distribution

DOI10.1134/S000511791511003XzbMath1414.91377OpenAlexW2261564735MaRDI QIDQ276151

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

Publication date: 27 April 2016

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s000511791511003x

zbMATH Keywords

American call optionhedger's loss distributionsequential hedging strategy

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Stop-loss start-gain strategy: Analysis and improvement
• Coherent Measures of Risk
• The Distribution of the Number of Crossings of a Strip by Paths of the Simplest Random Walks and of a Wiener Process with Drift

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