Hedging error as generalized timing risk

DOI10.1080/14697688.2022.2154255MaRDI QIDQ6158430zbMATH OpenFDO

Authors Jirô Akahori, Flavia Barsotti, Yuri Imamura

Publication date 20 June 2023

Published in Quantitative Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

zbMATH Keywords

barrier optionshedging errortiming risksemi-static hedge

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 1515832 (Why is no real title available?)
• CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
• Deep hedging
• Density and gradient estimates for non degenerate Brownian SDEs with unbounded measurable drift
• Existence of Optimal Stochastic Control Laws
• Optimal positioning in derivative securities
• Put-call symmetry: extensions and applications
• Robust deep hedging
• Semi-Stable Stochastic Processes
• Static hedging under time-homogeneous diffusions
• Static replication of barrier-type options via integral equations
• Static versus dynamic hedges: an empirical comparison for barrier options
• The Malliavin Calculus and Related Topics

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