Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach

DOI10.1080/14697680701381210MaRDI QIDQ3502191zbMATH OpenOpenAlexFDO

Authors Peter J. Meindl, James A. Primbs

Publication date 22 May 2008

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680701381210

zbMATH Keywords

stochastic programmingdynamic hedgingreceding horizon control

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Stochastic programming (90C15)

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Cites work

• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• A Successive Linear Approximation Procedure for Stochastic, Dynamic Vehicle Allocation Problems
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• Applications of Stochastic Programming
• Constrained model predictive control: Stability and optimality
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
• Efficient hedging: cost versus shortfall risk
• European Option Pricing with Transaction Costs
• Local Expected Shortfall-Hedging in Discrete Time *
• Model predictive control: Theory and practice - a survey
• Multi-stage stochastic linear programs for portfolio optimization
• Optimal delta-hedging under transactions costs
• Path-dependent options and transaction costs
• Portfolio Selection with Transaction Costs
• Rolling Horizon Procedures in Nonhomogeneous Markov Decision Processes
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• The use, misuse and abuse of mathematics in finance

Cited in

(10)

• Dynamic hedging of basket options under proportional transaction costs using receding horizon control
• Dynamic option hedging via stochastic model predictive control based on scenario simulation
• A new computational tool for analysing dynamic hedging under transaction costs
• Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints
• Dynamic conic hedging for competitiveness
• Multi-period portfolio selection with drawdown control
• Dynamic option hedging with transaction costs: A stochastic model predictive control approach
• Reducing transaction costs for interest rate risk hedging with stochastic programming
• Minimizing CVaR in global dynamic hedging with transaction costs
• A stochastic receding horizon control approach to constrained index tracking

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