Efficient Computation of Hedging Parameters for Discretely Exercisable Options

DOI10.1287/OPRE.1080.0557MaRDI QIDQ3392211zbMATH OpenOpenAlexFDO

Authors R. Kaniel, Stathis Tompaidis, Alexander Zemlianov

Publication date 13 August 2009

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/63268f0c400592fadf13600acf065d66cd2fbcff

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60)

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(10)

• Rannacher time-marching with orthogonal spline collocation method for retrieving the discontinuous behavior of hedging parameters
• Recursive lower and dual upper bounds for Bermudan-style options
• Efficient hedging in Bates model using high-order compact finite differences
• American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach
• Hedging Large Portfolios of Options in Discrete Time*
• Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs
• scientific article; zbMATH DE number 6750138 (Why is no real title available?)
• Fast and realistic European ARCH option pricing and hedging
• Simulated Greeks for American options
• The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks

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