Hedging and the mean absolute return

MaRDI QIDQ5748010zbMATH OpenFDO

Authors Miklavž Mastinšek

Publication date 14 September 2010

zbMATH Keywords

discrete-time deltadynamic hedging

Mathematics Subject Classification ID

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

Recommendations

• Time sensitivity of the Black-Scholes delta in discrete time
• Delta hedging and return
• Discrete-time delta hedging and the Black-Scholes model with transaction costs
• On the convergence of higher order hedging schemes: the delta-gamma case
• On suboptimality of delta hedging for Asian options

Cited in

(12)

• Local parametric analysis of hedging in discrete time
• Delta hedging in discrete time under stochastic interest rate
• An optimal combination of risk-return and naive hedging
• On the convergence of higher order hedging schemes: the delta-gamma case
• Delta hedging and return
• Time sensitivity of the Black-Scholes delta in discrete time
• An Analysis of the Risk in Discretely Rebalanced Option Hedges and Delta-Based Techniques
• The tracking error rate of the delta-gamma hedging strategy
• On suboptimality of delta hedging for Asian options
• Hedging mean-reverting commodities
• Hedging error as generalized timing risk
• Discrete-time delta hedging and the Black-Scholes model with transaction costs

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