A stochastic programming model for currency option hedging

DOI10.1023/A:1019296422231zbMath1017.90074OpenAlexW9180214MaRDI QIDQ5933858

Jason Wu, Suvrajeet Sen

Publication date: 14 June 2001

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1019296422231

zbMATH Keywords

stochastic programminghedgingcurrency options

Mathematics Subject Classification ID

Related Items (8)

Pricing European options by numerical replication: quadratic programming with constraints ⋮ Options strategies for international portfolios with overall risk management via multi-stage stochastic programming ⋮ Integrated dynamic models for hedging international portfolio risks ⋮ Reducing transaction costs for interest rate risk hedging with stochastic programming ⋮ Purchasing decisions under stochastic prices: approximate solutions for order time, order quantity and supplier selection ⋮ Options strategies with the risk adjustment ⋮ Modeling and evaluation of the option book hedging problem using stochastic programming ⋮ Treasury management model with foreign exchange exposure

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