Static hedging of multivariate derivatives by simulation

DOI10.1016/j.ejor.2004.02.014zbMath1064.91047OpenAlexW2091332774MaRDI QIDQ1780760

Niranjan Chakravarthy

Publication date: 13 June 2005

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10278/29372

zbMATH Keywords

Monte Carlo simulationRisk managementControl variatesOption hedging

Mathematics Subject Classification ID

Related Items (5)

Optimal Weak Static Hedging of Equity and Credit Risk Using Derivatives ⋮ Explainable neural network for pricing and universal static hedging of contingent claims ⋮ Auto-static for the people: risk-minimizing hedges of barrier options ⋮ Static Hedging of Geometric Average Asian Options with Standard Options ⋮ Risk management for international portfolios with basket options: A multi-stage stochastic programming approach

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• A Perspective on the Use of Control Variables to Increase the Efficiency of Monte Carlo Simulations
• Misspecified asset price models and robust hedging strategies
• Coupling backward induction with Monte Carlo simulations: a fast Fourier transform (FFT) approach

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