Optimal static-dynamic hedges for exotic options under convex risk measures

DOI10.1016/J.SPA.2009.06.009MaRDI QIDQ734655zbMATH OpenOpenAlexFDO

Authors Aytaç İlhan, Mattias Jonsson, Ronnie Sircar

Publication date 13 October 2009

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2009.06.009

zbMATH Keywords

convex risk measurehedgingexotic derivatives

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Financial applications of other theories (91G80)

Recommendations

• A framework for dynamic hedging under convex risk measures
• OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS
• Optimal static quadratic hedging
• Pricing, hedging, and designing derivatives with risk measures
• scientific article; zbMATH DE number 2133102

Cites work

• A framework for dynamic hedging under convex risk measures
• An entropy approach to the Stein and Stein model with correlation
• An example of indifference prices under exponential preferences
• Attainable claims with \(p\)'th moments
• Coherent measures of risk
• Convex Hedging in Incomplete Markets
• DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
• Dual formulation of the utility maximization problem: the case of nonsmooth utility.
• Efficient hedging: cost versus shortfall risk
• Existence of value and of saddle points for differential games of survival
• Exponential Hedging and Entropic Penalties
• Inf-convolution of risk measures and optimal risk transfer
• OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS
• On the minimal entropy martingale measure.
• Optimal investment with derivative securities
• PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT
• Pricing, hedging, and designing derivatives with risk measures
• STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE
• Sensitivity analysis of utility-based prices and risk-tolerance wealth processes
• Stochastic finance. An introduction in discrete time
• The canonical model space for law-invariant convex risk measures is \(L^{1}\)

Cited in

(16)

• Static hedging and pricing of exotic options with payoff frames
• Proactive hedging European call option pricing with linear position strategy
• Hedging error as generalized timing risk
• Hedging at-the-money digital options near maturity
• Dynamic conic hedging for competitiveness
• HEDGING STRATEGIES AND MINIMAL VARIANCE PORTFOLIOS FOR EUROPEAN AND EXOTIC OPTIONS IN A LÉVY MARKET
• Pricing, hedging, and designing derivatives with risk measures
• OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS
• scientific article; zbMATH DE number 2133102 (Why is no real title available?)
• A framework for dynamic hedging under convex risk measures
• Robust Risk-Aware Option Hedging
• Hedging derivatives on two assets with model risk
• Optimal weak static hedging of equity and credit risk using derivatives
• Hedging conditional value at risk with options
• Optimal Momentum Hedging via Hypoelliptic Reduced Monge--Ampère PDE
• Deep hedging

This page was built for publication: Optimal static-dynamic hedges for exotic options under convex risk measures

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q734655)