Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions

DOI10.1007/s11147-017-9137-3zbMath1417.91501OpenAlexW3123607206MaRDI QIDQ1621616

Johannes Gerer, Gregor Dorfleitner

Publication date: 9 November 2018

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://epub.uni-regensburg.de/35818/1/SSRN-id2764759.pdf

zbMATH Keywords

transaction costsearly exerciseAmerican optiondiscrete hedgingembedded decisionsgood-deal bounds

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Optimal exercise of American put options near maturity: a new economic perspective ⋮ Time consistent pricing of options with embedded decisions

Cites Work

• American and Bermudan options in currency markets with proportional transaction costs
• On the hedging of American options in discrete time markets with proportional transaction costs
• American contingent claims under small proportional transaction costs
• American options under proportional transaction costs: pricing, hedging and stopping algorithms for long and short positions
• Finite element solution of diffusion problems with irregular data
• Rational hedging and valuation of integrated risks under constant absolute risk aversion.
• Recursiveness of indifference prices and translation-invariant preferences
• Hedging of American options under transaction costs
• Almost sure optimal hedging strategy
• Randomized Stopping Times and American Option Pricing with Transaction Costs
• Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities
• AMERICAN OPTIONS WITH GRADUAL EXERCISE UNDER PROPORTIONAL TRANSACTION COSTS
• Lagrange Multiplier Approach with Optimized Finite Difference Stencils for Pricing American Options under Stochastic Volatility
• European Option Pricing with Transaction Costs
• On Hedging American Options under Model Uncertainty
• Stochastic Dominance Bounds on American Option Prices in Markets with Frictions

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