Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach
From MaRDI portal
Publication:3635008
DOI10.1287/opre.49.3.372.11218zbMath1163.91381OpenAlexW1977695619MaRDI QIDQ3635008
Leonid Kogan, Andrew W. Lo, Dimitris J. 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
Related Items (31)
Robust option pricing: Hannan and Blackwell meet Black and Scholes ⋮ Dynamic programming and mean-variance hedging with partial execution risk ⋮ Robust option pricing ⋮ Dynamic conic hedging for competitiveness ⋮ Backward Stochastic PDE and Imperfect Hedging ⋮ Pricing European options by numerical replication: quadratic programming with constraints ⋮ Equal risk pricing and hedging of financial derivatives with convex risk measures ⋮ Hedging with a correlated asset: Solution of a nonlinear pricing PDE ⋮ Pricing of non-redundant derivatives in a complete market ⋮ Hedging derivatives on two assets with model risk ⋮ Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications ⋮ Mean-variance hedging via stochastic control and BSDEs for general semimartingales ⋮ Deep reinforcement learning for option pricing and hedging under dynamic expectile 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 ⋮ Approximations and asymptotics of upper hedging prices in multinomial models ⋮ A profitable modification to global quadratic hedging ⋮ Backward stochastic partial differential equations related to utility maximization and hedging ⋮ Explicit formulas for the minimal variance hedging strategy in a martingale case ⋮ Hedging guarantees in variable annuities under both equity and interest rate risks ⋮ Systematic equity-based credit risk: A CEV model with jump to default ⋮ Tractable stochastic analysis in high dimensions via robust optimization ⋮ Hedging European and Barrier options using stochastic optimization ⋮ Deep hedging of long-term financial derivatives ⋮ Semi-nonparametric approximation and index options ⋮ HEDGING BY SEQUENTIAL REGRESSIONS REVISITED ⋮ A variation of Merton's corporate bond valuation model for firms with illiquid but observable assets ⋮ Hedging strategies for energy derivatives ⋮ Dynamic option hedging via stochastic model predictive control based on scenario simulation ⋮ Equal risk pricing of derivatives with deep hedging ⋮ Pricing dynamic binary variables and their derivatives
This page was built for publication: Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach
