Optimal Hedging of American Options in Discrete Time

DOI10.1007/978-3-642-25746-9_5zbMath1247.91201OpenAlexW1925015885MaRDI QIDQ2917430

Hugues Langlois, Alexandre Hocquard, Bruno Rémillard, Nicolas Papageorgiou

Publication date: 28 September 2012

Published in: Springer Proceedings in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-25746-9_5

zbMATH Keywords

martingaleriskAmerican optionbermudan option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

An improved method for pricing and hedging long dated American options ⋮ Optimal hedging when the underlying asset follows a regime-switching Markov process

Cites Work

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