Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach
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Publication:3635008
DOI10.1287/OPRE.49.3.372.11218zbMATH Open1163.91381OpenAlexW1977695619MaRDI QIDQ3635008FDOQ3635008
Authors: Leonid Kogan, Andrew W. Lo, Dimitris Bertsimas 
Publication date: 3 July 2009
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/d82ea47da159ec3712435ef619fab6e29d78f471
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- Approximations and asymptotics of upper hedging prices in multinomial models
- Dynamic programming and mean-variance hedging with partial execution risk
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- Tractable stochastic analysis in high dimensions via robust optimization
- Robust option pricing: Hannan and Blackwell meet Black and Scholes
- Semimartingales and Hedging in Incomplete Markets
- Equal risk pricing and hedging of financial derivatives with convex risk measures
- Numerical solution of a parabolic problem arising in finance
- Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control
- Pricing European options by numerical replication: quadratic programming with constraints
- Analysis of an ϵ-arbitrage model for incomplete markets
- A variation of Merton's corporate bond valuation model for firms with illiquid but observable assets
- Robust option pricing
- The range of derivative's arbitrage prices in a general incomplete market
- Hedging under arbitrage
- Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications
- Dynamic conic hedging for competitiveness
- Deep hedging of long-term financial derivatives
- PERFECT HEDGING OF INDEX DERIVATIVES UNDER A MINIMAL MARKET MODEL
- Hedging guarantees in variable annuities under both equity and interest rate risks
- Backward stochastic partial differential equations related to utility maximization and hedging
- A GENERAL METHODOLOGY TO PRICE AND HEDGE DERIVATIVES IN INCOMPLETE MARKETS
- Hedging derivatives on two assets with model risk
- Equilibrium Pricing of Derivative Securities in Dynamically Incomplete Markets
- Hedging European and barrier options using stochastic optimization
- Pricing dynamic binary variables and their derivatives
- Pricing of non-redundant derivatives in a complete market
- Equal risk pricing of derivatives with deep hedging
- Hedging with a correlated asset: Solution of a nonlinear pricing PDE
- Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures
- Dynamic option hedging via stochastic model predictive control based on scenario simulation
- Semi-nonparametric approximation and index options
- Hedging by sequential regressions revisited
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