Option pricing and hedging with minimum local expected shortfall

DOI10.1080/14697680400023329zbMath1405.91698arXivcond-mat/0308570OpenAlexW3123846816MaRDI QIDQ4610270

Benoît Pochart, Jean-Philippe Bouchaud

Publication date: 15 January 2019

Full work available at URL: https://arxiv.org/abs/cond-mat/0308570

zbMATH Keywords

hedgingoption pricingMonte-Carlo

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Optimal Hedging of American Options in Discrete Time ⋮ Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations

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