The modified sequential hedging strategy: hedger's loss distribution

DOI10.1134/S000511791511003XzbMATH Open1414.91377OpenAlexW2261564735MaRDI QIDQ276151FDOQ276151

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

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

Cites Work

• Coherent measures of risk
• Stop-loss start-gain strategy: Analysis and improvement
• 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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