Hedging using simulation: a least squares approach

DOI10.1016/J.JEDC.2004.07.006zbMATH Open1198.91215OpenAlexW2056380536MaRDI QIDQ956433FDOQ956433

C. Tebaldi

Publication date: 25 November 2008

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2004.07.006

Recommendations

• Pricing and hedging American-style options: a simple simulation-based approach
• Estimating residual hedging risk with least-squares Monte Carlo
• Static hedging of multivariate derivatives by simulation
• scientific article; zbMATH DE number 2065149
• Hedging by sequential regressions revisited

zbMATH Keywords

Malliavin calculusleast squares regressionAmerican optionshedgingsimulation methods

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Cites Work

• The pricing of options and corporate liabilities
• Applications of Malliavin calculus to Monte Carlo methods in finance
• Martingales and arbitrage in multiperiod securities markets
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the theory of option pricing
• On the pricing of American options
• White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance
• Martingales and stochastic integrals in the theory of continuous trading
• An analysis of a least squares regression method for American option pricing
• Applications of Malliavin calculus to Monte-Carlo methods in finance. II
• Title not available (Why is that?)
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• Estimating Security Price Derivatives Using Simulation
• A General Fractional White Noise Theory And Applications To Finance
• The valuation of American barrier options using the decomposition technique
• On the Malliavin approach to Monte Carlo approximation of conditional expectations
• A generalized clark representation formula, with application to optimal portfolios
• A General Approach to Hedging Options: Applications to Barrier and Partial Barrier Options
• Title not available (Why is that?)
• CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
• Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions
• Title not available (Why is that?)
• WIENER CHAOS: A NEW APPROACH TO OPTION HEDGING
• Smart Monte Carlo: various tricks using Malliavin calculus
• A representation result for time-space Brownian chaos

Cited In (6)

• ESTIMATING RESIDUAL HEDGING RISK WITH LEAST-SQUARES MONTE CARLO
• Cross-hedging minimum return guarantees: basis and liquidity risks
• It only takes a few moments to hedge options
• The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling
• Title not available (Why is that?)
• Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation

This page was built for publication: Hedging using simulation: a least squares approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q956433)