Minimax hedging strategy

DOI10.1007/BF01299455zbMath0824.90050MaRDI QIDQ1890890

M. A. Howe, M. J. P. Selby, Berc Rustem

Publication date: 23 May 1995

Published in: Computational Economics (Search for Journal in Brave)

zbMATH Keywords

optionssimulationminimax strategydelta hedgingscenario analysisrobust risk management strategy

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (5)

A robust hedging algorithm ⋮ Robust portfolio optimization with derivative insurance guarantees ⋮ Robust optimal decisions with imprecise forecasts ⋮ Multi-period minimax hedging strategies ⋮ Robust min-max portfolio strategies for rival forecast and risk scenarios

Cites Work

• The Pricing of Options and Corporate Liabilities
• European Option Pricing with Transaction Costs
• Portfolio Selection with Transaction Costs
• Unnamed Item

This page was built for publication: Minimax hedging strategy