Variance-Optimal Hedging in Discrete Time
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(only showing first 100 items - show all)- Nonlinear stochastic integrals for hyperfinite Lévy processes
- Extending pricing rules with general risk functions
- Chance-constrained optimization for pension fund portfolios in the presence of default risk
- Vector risk functions
- Mean-variance hedging for discontinuous semimartingales.
- Approximation pricing and the variance-optimal martingale measure
- A minimality property of the minimal martingale measure
- A profitable modification to global quadratic hedging
- Stability and asymptotic analysis of the Föllmer-Schweizer decomposition on a finite probability space
- Deep hedging of long-term financial derivatives
- On the risk management of demand deposits: quadratic hedging of interest rate margins
- Hedging derivatives on two assets with model risk
- Asymptotic power utility-based pricing and hedging
- Hedging strategies for discretely monitored Asian options under Lévy processes
- Portfolio optimization with uncertain exit time in infinite-time horizon
- Mean-variance hedging under transaction costs
- Hedging guarantees in variable annuities under both equity and interest rate risks
- A note on the mean-variance criteria for discrete time financial markets
- Almost sure optimal hedging strategy
- Optimal hedging when the underlying asset follows a regime-switching Markov process
- Quadratic hedging for sequential claims with random weights in discrete time
- Malliavin calculus for marked binomial processes and applications
- A discrete-time hedging framework with multiple factors and fat tails: on what matters
- Multidimensional variance-optimal hedging in discrete-time model -- a general approach
- Equilibrium pricing in incomplete markets under translation invariant preferences
- Optimal hedging through limit orders
- Variance optimal hedging for continuous time additive processes and applications
- Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity
- Optimal hedging of American options in discrete time
- A hybrid stock trading system using genetic network programming and mean conditional value-at-risk
- Variance-optimal hedging for time-changed Lévy processes
- VALUE-AT-RISK ESTIMATION FOR DYNAMIC HEDGING
- DISTRIBUTION-BASED OPTION PRICING ON LATTICE ASSET DYNAMICS MODELS
- Minimal-variance hedging in large financial markets: random fields approach
- A new computational tool for analysing dynamic hedging under transaction costs
- RISKY OPTIONS SIMPLIFIED
- ON THE PROFIT AND LOSS DISTRIBUTION OF DYNAMIC HEDGING STRATEGIES
- A GENERAL METHODOLOGY TO PRICE AND HEDGE DERIVATIVES IN INCOMPLETE MARKETS
- OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST
- THE LIMITATIONS OF NO-ARBITRAGE ARGUMENTS FOR REAL OPTIONS
- Hedging Large Portfolios of Options in Discrete Time*
- Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations
- $\mathcal{L}^p$-PROJECTIONS OF RANDOM VARIABLES AND ITS APPLICATION TO FINANCE
- On the martingale representation theorem and on approximate hedging a contingent claim in the minimum deviation square criterion
- Hedging by sequential regressions revisited
- Mean-variance hedging with uncertain trade execution
- Pricing of non-redundant derivatives in a complete market
- Variance-optimal hedging for target volatility options
- scientific article; zbMATH DE number 1305638 (Why is no real title available?)
- Utility based pricing of contingent claims in incomplete markets
- Option pricing with hedging at fixed trading dates
- On hedging in finite security markets
- Learning minimum variance discrete hedging directly from the market
- Local risk-minimization with multiple assets under illiquidity with applications in energy markets
- Dynamic programming and mean‐variance hedging in discrete time
- The payoff distribution model: an application to dynamic portfolio insurance
- Evaluating discrete dynamic strategies in affine models
- L 2 -discrete hedging in a continuous-time model
- Multiperiod mean-variance efficient portfolios with endogenous liabilities
- On some expectation and derivative operators related to integral representations of random variables with respect to a PII process
- On the Mean-Variance Hedging Problem
- Optimal hedging of a perpetual American put with a single trade
- Minimizing CVaR in global dynamic hedging with transaction costs
- Equal risk pricing of derivatives with deep hedging
- Lattice-based hedging schemes under GARCH models
- Insurance valuation: A two-step generalised regression approach
- Semi-static hedging for GMWB in variable annuities
- Stability results for martingale representations: the general case
- On mean-variance hedging under partial observations and terminal wealth constraints
- scientific article; zbMATH DE number 7064063 (Why is no real title available?)
- Mean-variance efficiency with extended CIR interest rates
- Optimal hedging in discrete time
- On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model
- Variance-Minimizing Hedging in a Model with Jumps at Deterministic Times
- scientific article; zbMATH DE number 2237966 (Why is no real title available?)
- From actuarial to financial valuation principles
- Claim pricing and hedging under market incompleteness and ``mean-variance preferences
- Finite arbitrage times and the volatility smile?
- Indifference valuation in incomplete binomial models
- Variance-optimal hedging for Asian options under independent increments processes
- Stochastic moment problem and hedging of generalized Black-Scholes options
- The information premium on a finite probability space
- Multi-period Mean–Variance Hedging Problem with Model Risk
- A pure dual approach for hedging Bermudan options
- Backward hedging for American options with transaction costs
- Minimum cost super-hedging in a discrete time incomplete multi-asset binomial market
- A new lattice approach for risk-minimization hedging under generalized autoregressive conditional heteroskedasticity models
- Hedging targeted risks with reinforcement learning: application to life insurance contracts with embedded guarantees
- Model risk and discretisation of locally risk-minimising strategies
- Dynamic programming and mean-variance hedging with partial execution risk
- \(q\)-optimal martingale measures for discrete time models
- Pricing European options by numerical replication: quadratic programming with constraints
- Properties of multinomial lattices with cumulants for option pricing and hedging
- Hedging with a correlated asset: Solution of a nonlinear pricing PDE
- Martingale measures in the market with restricted information
- The pricing of liabilities in an incomplete market using dynamic mean-variance hedging
- Pricing and hedging Asian-style options on energy
- Convex bounds on multiplicative processes, with applications to pricing in incomplete markets
- Hedging options under transaction costs and stochastic volatility
- Explicit formulas for the minimal variance hedging strategy in a martingale case
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