Hedging exotic derivatives through stochastic optimization

DOI10.1016/S0165-1889(98)00021-9zbMath0912.90022MaRDI QIDQ1274222

Patrick Hénaff

Publication date: 12 January 1999

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

stochastic optimizationdecompositionhedging financial instruments

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Stochastic programming (90C15)

Related Items (1)

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

Cites Work

• Partitioning procedures for solving mixed-variables programming problems
• Asymmetric risk measures and tracking models for portfolio optimization under uncertainty
• Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case¹

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