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

DOI10.1007/S10690-011-9145-5zbMATH Open1242.91199OpenAlexW2080768574MaRDI QIDQ436951FDOQ436951

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

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zbMATH Keywords

additive modelsbasket optionssmooth functionsmultivariate derivativesminimum variance hedging

Mathematics Subject Classification ID

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

Cites Work

• Generalized additive models. An introduction with R.
• The pricing of options and corporate liabilities
• Title not available (Why is that?)
• Stochastic calculus for finance. II: Continuous-time models.
• Static-arbitrage upper bounds for the prices of basket options
• Title not available (Why is that?)
• Nonparametric estimation of American options' exercise boundaries and call prices
• Mean-variance hedging in continuous time
• Optimal investment in derivative securities
• Dynamic hedging of basket options under proportional transaction costs using receding horizon control
• Optimal hedging of prediction errors using prediction errors

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

Uses Software

• gamair

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