Hedging European and Barrier options using stochastic optimization

DOI10.1080/14697680400023345zbMath1405.91653OpenAlexW1999855526MaRDI QIDQ4610264

Michael Villaverde

Publication date: 15 January 2019

Full work available at URL: https://doi.org/10.1080/14697680400023345

zbMATH Keywords

stochastic optimizationhedgingEuropean optionsbarrier options

Mathematics Subject Classification ID

Stochastic programming (90C15) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Modeling and evaluation of the option book hedging problem using stochastic programming

Uses Software

• SNOPT

Cites Work

• Hedging options under transaction costs and stochastic volatility
• Efficient hedging: cost versus shortfall risk
• Duality and martingales: a stochastic programming perspective on contingent claims
• There is no nontrivial hedging portfolio for option pricing with transaction costs
• Quantile hedging
• Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach
• Introduction to Stochastic Programming
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• SNOPT: An SQP Algorithm for Large-Scale Constrained Optimization

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