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

DOI10.1016/J.SPA.2009.06.009zbMATH Open1204.91120OpenAlexW3122343475MaRDI QIDQ734655FDOQ734655

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

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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)

Cites Work

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• A framework for dynamic hedging under convex risk measures

Cited In (16)

• 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
• OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS
• Pricing, hedging, and designing derivatives with risk measures
• HEDGING STRATEGIES AND MINIMAL VARIANCE PORTFOLIOS FOR EUROPEAN AND EXOTIC OPTIONS IN A LÉVY MARKET
• Title not available (Why is that?)
• 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
• Static hedging and pricing of exotic options with payoff frames

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