On the choice between two delta-hedging strategies

DOI10.1007/S10203-016-0172-6zbMath1398.91331OpenAlexW3123329347MaRDI QIDQ272214

Liang Hong

Publication date: 20 April 2016

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-016-0172-6

zbMATH Keywords

Markov chainrandom walkcost of hedgingfixed transaction costnon-fixed transaction costre-balancing

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items (1)

A further study of the choice between two hedging strategies -- the continuous case

Cites Work

• Hedging guarantees in variable annuities under both equity and interest rate risks
• GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
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