AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING

DOI10.1142/S0219024912500136zbMath1282.91349MaRDI QIDQ2882689

Steven Vanduffel, Aleš Ahčan, Mateusz Maj, Luc Henrard

Publication date: 7 May 2012

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

zbMATH Keywords

hedgingJensen's inequalityBrownian bridgeLévy processEsscher transformminimal guarantee

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (10)

DOLLAR COST AVERAGING RETURNS ESTIMATION ⋮ OPTIMAL PORTFOLIO UNDER STATE-DEPENDENT EXPECTED UTILITY ⋮ OPTIMALITY OF PAYOFFS IN LÉVY MODELS ⋮ An analysis of dollar cost averaging and market timing investment strategies ⋮ WITHDRAWAL SUCCESS ESTIMATION ⋮ Asian and Australian options: a common perspective ⋮ On the Method of Optimal Portfolio Choice by Cost-Efficiency ⋮ Construction and Hedging of Optimal Payoffs in Lévy Models ⋮ Optimal claims with fixed payoff structure ⋮ Cost-efficiency in multivariate Lévy models

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