Static hedging of multivariate derivatives by simulation

DOI10.1016/J.EJOR.2004.02.014MaRDI QIDQ1780760zbMATH OpenOpenAlexFDO

Authors Niranjan Chakravarthy

Publication date 13 June 2005

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10278/29372

zbMATH Keywords

Monte Carlo simulationRisk managementControl variatesOption hedging

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 3841285 (Why is no real title available?)
• scientific article; zbMATH DE number 1148207 (Why is no real title available?)
• A Perspective on the Use of Control Variables to Increase the Efficiency of Monte Carlo Simulations
• Control Variate Remedies
• Coupling backward induction with Monte Carlo simulations: a fast Fourier transform (FFT) approach
• Efficient Monte Carlo pricing of European options using mean value control variates
• Efficient hedging: cost versus shortfall risk
• Misspecified asset price models and robust hedging strategies
• On Leland's strategy of option pricing with transactions costs
• Quantile hedging
• WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS

Cited in

(13)

• Hedging using simulation: a least squares approach
• Risk management for international portfolios with basket options: A multi-stage stochastic programming approach
• Simplified hedge for path-dependent derivatives
• A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility
• A Stieltjes approach to static hedges
• Properties of optimal smooth functions in additive models for hedging multivariate derivatives
• The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling
• Auto-static for the people: risk-minimizing hedges of barrier options
• Optimal static quadratic hedging
• Explainable neural network for pricing and universal static hedging of contingent claims
• Static hedging of geometric average Asian options with standard options
• Optimal weak static hedging of equity and credit risk using derivatives
• scientific article; zbMATH DE number 2065149 (Why is no real title available?)

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