Hedging European and barrier options using stochastic optimization
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Publication:4610264
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Cites work
- Duality and martingales: a stochastic programming perspective on contingent claims
- Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
- Efficient hedging: cost versus shortfall risk
- Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach
- Hedging options under transaction costs and stochastic volatility
- Introduction to Stochastic Programming
- Quantile hedging
- SNOPT: An SQP Algorithm for Large-Scale Constrained Optimization
- There is no nontrivial hedging portfolio for option pricing with transaction costs
Cited in
(6)- Auto-static for the people: risk-minimizing hedges of barrier options
- Hedging exotic derivatives through stochastic optimization
- Proactive hedging European option pricing with a general logarithmic position strategy
- scientific article; zbMATH DE number 953303 (Why is no real title available?)
- Modeling and evaluation of the option book hedging problem using stochastic programming
- Multivariate Lévy models: calibration and pricing
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