Optimal hedging through limit orders

DOI10.1080/15326349.2016.1188014zbMath1415.91275OpenAlexW2417415905MaRDI QIDQ2816625

Rossella Agliardi

Publication date: 25 August 2016

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349.2016.1188014

zbMATH Keywords

martingaleshedgingstochastic dynamic programminglimit orders

Mathematics Subject Classification ID

Stochastic programming (90C15) Dynamic programming (90C39) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

A Leland model for delta hedging in central risk books ⋮ Finite horizon optimal execution with bounded rate of transaction

Cites Work

• LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY
• THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING
• HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK-MERTON-SCHOLES?
• Variance-Optimal Hedging in Discrete Time
• Optimal Portfolio Liquidation with Limit Orders
• GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION
• Optimal high-frequency trading with limit and market orders

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