Properties of optimal smooth functions in additive models for hedging multivariate derivatives

DOI10.1007/S10690-011-9145-5MaRDI QIDQ436951zbMATH OpenOpenAlexFDO

Authors Yuji Yamada

Publication date 17 July 2012

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2241/00146062

zbMATH Keywords

additive modelsbasket optionssmooth functionsmultivariate derivativesminimum variance hedging

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• scientific article; zbMATH DE number 47282 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Dynamic hedging of basket options under proportional transaction costs using receding horizon control
• Generalized additive models. An introduction with R.
• Mean-variance hedging in continuous time
• Nonparametric estimation of American options' exercise boundaries and call prices
• Optimal hedging of prediction errors using prediction errors
• Optimal investment in derivative securities
• Static-arbitrage upper bounds for the prices of basket options
• Stochastic calculus for finance. II: Continuous-time models.
• The pricing of options and corporate liabilities

Cited in

(2)

• Optimal hedging of basket barrier options with additive models and its application to equity value separation problem
• CVaR-minimising hedging by a smoothing method

Describes a project that uses

Uses Software

• gamair

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