Hedging error as generalized timing risk

DOI10.1080/14697688.2022.2154255zbMATH Open1519.91251MaRDI QIDQ6158430FDOQ6158430

Authors: Jirô Akahori, Flavia Barsotti, Yuri Imamura 

Publication date: 20 June 2023

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

Recommendations

• EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
• Measuring the error of dynamic hedging: a Laplace transform approach
• Optimal static-dynamic hedges for exotic options under convex risk measures
• Hedging and the mean absolute return
• Static and semistatic hedging as contrarian or conformist bets

zbMATH Keywords

barrier optionshedging errortiming risksemi-static hedge

Mathematics Subject Classification ID

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

Cites Work

• The Malliavin Calculus and Related Topics
• Title not available (Why is that?)
• Title not available (Why is that?)
• Semi-Stable Stochastic Processes
• Optimal positioning in derivative securities
• Put-call symmetry: extensions and applications
• CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
• Static hedging under time-homogeneous diffusions
• Existence of Optimal Stochastic Control Laws
• Density and gradient estimates for non degenerate Brownian SDEs with unbounded measurable drift
• Static versus dynamic hedges: an empirical comparison for barrier options
• Deep hedging
• Static replication of barrier-type options via integral equations
• Robust deep hedging

This page was built for publication: Hedging error as generalized timing risk

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6158430)