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Optimal Hedging of a Perpetual American Put with a Single Trade - MaRDI portal

Optimal Hedging of a Perpetual American Put with a Single Trade (Q4958394)

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scientific article; zbMATH DE number 7392180
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English
Optimal Hedging of a Perpetual American Put with a Single Trade
scientific article; zbMATH DE number 7392180

    Statements

    title
    Optimal Hedging of a Perpetual American Put with a Single Trade (English)
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    author
    Cheng Cai
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    Tiziano De Angelis
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    Jan Palczewski
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    publication date
    8 September 2021
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    zbMATH Keywords
    optimal hedging
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    discrete-time hedging
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    American put option
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    optimal stopping
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    free boundary problems
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    cites work
    Q3150773
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    Q3974816
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    Q4002114
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    Q3378055
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    Q4328337
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    Identifiers

    DOI
    10.1137/20M1325265
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    Mathematics Subject Classification ID
    91G20
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    60G40
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    35R35
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    zbMATH DE Number
    7392180
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    arXiv ID
    2003.06249
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    OpenAlex ID
    W3175535318
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