Dynamic Programming and Hedging Strategies in Discrete Time

DOI10.1007/978-3-642-17254-0_22zbMath1229.91340OpenAlexW180644247MaRDI QIDQ3112475

Shih-Feng Huang, Mei-Hui Guo

Publication date: 10 January 2012

Published in: Handbook of Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-17254-0_22

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical mathematical programming methods (65K05) Dynamic programming (90C39)

Related Items (2)

Quadratic hedging schemes for non-Gaussian GARCH models ⋮ Lattice-based hedging schemes under GARCH models

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Efficient hedging: cost versus shortfall risk
• Generalized autoregressive conditional heteroscedasticity
• On dynamic measure of risk
• Empirical Martingale Simulation for Asset Prices
• THE GARCH OPTION PRICING MODEL
• Valuation of Multidimensional Bermudan Options
• PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS
• A Discrete Time Equivalent Martingale Measure
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• Local Expected Shortfall-Hedging in Discrete Time *

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