Hedging error as generalized timing risk

DOI10.1080/14697688.2022.2154255zbMath1519.91251MaRDI QIDQ6158430

Flavia Barsotti, Yuri Imamura, Jirô Akahori

Publication date: 20 June 2023

Published in: Quantitative Finance (Search for Journal in Brave)

zbMATH Keywords

barrier optionshedging errortiming risksemi-static hedge

Mathematics Subject Classification ID

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

Cites Work

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• Semi-Stable Stochastic Processes
• Static replication of barrier-type options via integral equations
• Robust deep hedging
• Deep hedging
• Static Hedging under Time-Homogeneous Diffusions
• Existence of Optimal Stochastic Control Laws

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