Appraising the convenience of a call-based dynamical hedging strategy for an oil-company

DOI10.3934/jdg.2023015zbMath1530.90049OpenAlexW4387625571MaRDI QIDQ6064214

Claudio E. Risso, Juan Piccini, Bernardo Zimberg

Publication date: 12 December 2023

Published in: Journal of Dynamics and Games (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jdg.2023015

zbMATH Keywords

computational methodsmathematical programmingoperations researchstochastic analysis and risk measures

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Linear programming (90C05) Management decision making, including multiple objectives (90B50)

Cites Work

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• Monte carlo evaluation of functionals of solutions of stochastic differential equations. variance reduction and numerical examples
• Introduction to Stochastic Programming
• An Introduction to Statistical Learning
• The Monte Carlo Method
• Monte Carlo simulation in statistical physics. An introduction.

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