Properties of optimal smooth functions in additive models for hedging multivariate derivatives

DOI10.1007/s10690-011-9145-5zbMath1242.91199OpenAlexW2080768574MaRDI QIDQ436951

Yuji Yamada

Publication date: 17 July 2012

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2241/00146062

zbMATH Keywords

additive modelsbasket optionssmooth functionsmultivariate derivativesminimum variance hedging

Mathematics Subject Classification ID

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

Related Items (1)

Optimal hedging of basket barrier options with additive models and its application to equity value separation problem

Uses Software

• gamair

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Optimal hedging of prediction errors using prediction errors
• Mean-variance hedging in continuous time
• Nonparametric estimation of American options' exercise boundaries and call prices
• Stochastic calculus for finance. II: Continuous-time models.
• Static-arbitrage upper bounds for the prices of basket options
• Dynamic hedging of basket options under proportional transaction costs using receding horizon control
• Optimal investment in derivative securities

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