EFFICIENT HEDGING OF PATH–DEPENDENT OPTIONS

DOI10.1142/S0219024916500321zbMath1396.91743OpenAlexW2380189701MaRDI QIDQ2816961

Adam W. Kolkiewicz

Publication date: 26 August 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024916500321

zbMATH Keywords

hedgingpath-dependent optionsshortfall risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Semi-Static Hedging for GMWB in Variable Annuities
• On Suboptimality of Delta Hedging for Asian Options
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