Dynamic hedging of basket options under proportional transaction costs using receding horizon control

DOI10.1080/00207170902783341MaRDI QIDQ3654580zbMATH OpenOpenAlexFDO

Authors James A. Primbs

Publication date 6 January 2010

Published in International Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207170902783341

zbMATH Keywords

model predictive controldynamic hedgingreceding horizon controlsemi-definite programming

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Semidefinite programming (90C22) Interest rates, asset pricing, etc. (stochastic models) (91G30) Stochastic systems in control theory (general) (93E03)

Recommendations

• Dynamic option hedging with transaction costs: A stochastic model predictive control approach
• Dynamic option hedging via stochastic model predictive control based on scenario simulation
• Option hedging theory under transaction costs
• Pricing a European Basket Option in the Presence of Proportional Transaction Costs
• Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach

Cites work

• Coherent measures of risk
• Comment on “Generating Scenario Trees for Multistage Decision Problems”
• Conditions for Positive and Nonnegative Definiteness in Terms of Pseudoinverses
• Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach
• Dynamic stochastic programming for asset-liability management
• European Option Pricing with Transaction Costs
• Generating scenario trees for multistage decision problems
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• On Leland's strategy of option pricing with transactions costs
• Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: a stochastic programming approach
• Pricing a European Basket Option in the Presence of Proportional Transaction Costs
• STOCHASTIC MODEL PREDICTIVE CONTROL AND PORTFOLIO OPTIMIZATION
• Scenario generation and stochastic programming models for asset liability management
• Scenarios for multistage stochastic programs
• Semidefinite Programming
• Solving ALM problems via sequential stochastic programming
• Stochastic MPC with inequality stability constraints
• Stochastic Network Programming for Financial Planning Problems
• The pricing of options and corporate liabilities

Cited in

(10)

• Dynamic option hedging via stochastic model predictive control based on scenario simulation
• Model predictive control design for constrained Markov jump bilinear stochastic systems with an application in finance
• Optimal control of European double barrier basket options
• Optimal hedging of basket barrier options with additive models and its application to equity value separation problem
• Properties of optimal smooth functions in additive models for hedging multivariate derivatives
• Dynamic option hedging with transaction costs: A stochastic model predictive control approach
• Model predictive control for constrained systems with serially correlated stochastic parameters and portfolio optimization
• Model predictive control: recent developments and future promise
• On the stability of receding horizon control for continuous-time stochastic systems
• Option hedging theory under transaction costs

Describes a project that uses

Uses Software

• QRM
• SeDuMi

This page was built for publication: Dynamic hedging of basket options under proportional transaction costs using receding horizon control

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3654580)