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Modeling and evaluation of the option book hedging problem using stochastic programming - MaRDI portal

Modeling and evaluation of the option book hedging problem using stochastic programming (Q5001128)

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scientific article; zbMATH DE number 7372399
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English
Modeling and evaluation of the option book hedging problem using stochastic programming
scientific article; zbMATH DE number 7372399

    Statements

    title
    Modeling and evaluation of the option book hedging problem using stochastic programming (English)
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    author
    M. Barkhagen
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    Jörgen Blomvall
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    publication date
    16 July 2021
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    zbMATH Keywords
    option hedging
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    stochastic programming
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    simulation
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    local volatility surface
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    empirical evaluation
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    Identifiers

    zbMATH DE Number
    7372399
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    OpenAlex ID
    W2262011384
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    Wikidata QID
    Q57710139
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