Almost sure optimal hedging strategy

DOI10.1214/13-AAP959zbMath1298.91165arXiv1405.4170OpenAlexW1992162159MaRDI QIDQ2511561

Nicolas Landon, Emmanuel Gobet

Publication date: 6 August 2014

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.4170

zbMATH Keywords

almost sure convergenceasymptotic optimalityoption hedging

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)

Related Items (11)

Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions ⋮ Optimal discretization of stochastic integrals driven by general Brownian semimartingale ⋮ Model-adaptive optimal discretization of stochastic integrals ⋮ Simple bounds for utility maximization with small transaction costs ⋮ Asymptotic optimal tracking: feedback strategies ⋮ Parametric inference for diffusions observed at stopping times ⋮ Trading with small nonlinear price impact ⋮ Efficient discretization of stochastic integrals ⋮ Optimal rebalancing frequencies for multidimensional portfolios ⋮ Optimal Discretization of Hedging Strategies with Directional Views ⋮ Optimal Hedging of a Perpetual American Put with a Single Trade

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