Optimal static quadratic hedging

DOI10.1080/14697688.2016.1161229zbMath1400.91599arXiv1506.02074OpenAlexW3123956888MaRDI QIDQ4554507

Matthew Lorig, Tim Leung

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.02074

zbMATH Keywords

static hedgingleveraged ETF optionssubstitute hedging

Mathematics Subject Classification ID

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

Related Items (4)

Semi-Robust Replication of Barrier-Style Claims on Price and Volatility ⋮ On the utility maximization of the discrepancy between a perceived and market implied risk neutral distribution ⋮ Robust replication of volatility and hybrid derivatives on jump diffusions ⋮ Static hedging of weather and price risks in electricity markets

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