Optimal hedging through limit orders

DOI10.1080/15326349.2016.1188014MaRDI QIDQ2816625zbMATHOpenAlexFDO

Authors Rossella Agliardi

Publication date 25 August 2016

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326349.2016.1188014

zbMATH Keywords

martingaleshedginglimit ordersstochastic dynamic programming

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Dynamic programming (90C39) Stochastic programming (90C15) Martingales with continuous parameter (60G44)

Recommendations

• Optimal trading strategies with limit orders
• Dynamic programming and mean-variance hedging with partial execution risk
• Trading strategy with stochastic volatility in a limit order book market
• Optimal placement in a limit order book: an analytical approach
• Modeling uncertainty in limit order execution

Cites work

• General intensity shapes in optimal liquidation
• HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK-MERTON-SCHOLES?
• Liquidation in limit order books with controlled intensity
• Optimal high-frequency trading with limit and market orders
• Optimal portfolio liquidation with limit orders
• The cost of illiquidity and its effects on hedging
• Variance-Optimal Hedging in Discrete Time

Cited in

(7)

• Hedge and speculate: replicating option payoffs with limit and market orders
• A Leland model for delta hedging in central risk books
• Optimal trading strategies with limit orders
• Optimal liquidation in a limit order book for a risk-averse investor
• Combination trading with limit orders
• Finite horizon optimal execution with bounded rate of transaction
• Optimal Liquidation of Child Limit Orders

This page was built for publication: Optimal hedging through limit orders

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2816625)