Robust hedging of options on a leveraged exchange traded fund

DOI10.1214/18-AAP1427zbMath1409.60064arXiv1702.07169WikidataQ128813698 ScholiaQ128813698MaRDI QIDQ670750

Sam M. Kinsley, Alexander Matthew Gordon Cox

Publication date: 20 March 2019

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.07169

zbMATH Keywords

robust pricing and hedgingmonotonicity principleleveraged exchange traded fundoptimal Skorokhod embedding problem

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Fine properties of the optimal Skorokhod embedding problem ⋮ PDE methods for optimal Skorokhod embeddings ⋮ Discretisation and duality of optimal Skorokhod embedding problems

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