Optimal hedging of basket barrier options with additive models and its application to equity value separation problem

DOI10.1007/s10690-016-9221-yzbMath1418.91605OpenAlexW2568269807MaRDI QIDQ1627805

Yuji Yamada

Publication date: 3 December 2018

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://tsukuba.repo.nii.ac.jp/record/41107/files/APFM_24-1.pdf

zbMATH Keywords

additive modelsoptimal hedgingsmooth functionsbasket barrier optionsfirst passage time structural models

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Properties of optimal smooth functions in additive models for hedging multivariate derivatives
• Stochastic calculus for finance. II: Continuous-time models.
• Static-arbitrage upper bounds for the prices of basket options
• Dynamic hedging of basket options under proportional transaction costs using receding horizon control

This page was built for publication: Optimal hedging of basket barrier options with additive models and its application to equity value separation problem