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

DOI10.1080/14697680701381210zbMATH Open1134.91367OpenAlexW2008421072MaRDI QIDQ3502191FDOQ3502191

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

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zbMATH Keywords

stochastic programmingdynamic hedgingreceding horizon control

Mathematics Subject Classification ID

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

Cites Work

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• Optimal delta-hedging under transactions costs
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• The use, misuse and abuse of mathematics in finance
• Local Expected Shortfall-Hedging in Discrete Time *
• Path-dependent options and transaction costs

Cited In (10)

• 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
• 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

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