Semistatic and sparse variance-optimal hedging

DOI10.1111/MAFI.12235MaRDI QIDQ5109972zbMATH OpenOpenAlexFDO

Authors P. Di Tella, Martin Haubold, Martin Keller-Ressel

Publication date 14 May 2020

Published in Mathematical Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1709.05519

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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• It only takes a few moments to hedge options
• Properties of optimal smooth functions in additive models for hedging multivariate derivatives
• Static and semistatic hedging as contrarian or conformist bets
• Semi-static variance-optimal hedging in stochastic volatility models with Fourier representation
• Optimal static quadratic hedging
• Semi-Static and Sparse Variance-Optimal Hedging

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