Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations

DOI10.1007/s00780-020-00428-1zbMath1447.91173OpenAlexW2943323028MaRDI QIDQ784734

Emmanuel Gobet, Xavier Warin, Isaque Pimentel

Publication date: 3 August 2020

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-020-00428-1

zbMATH Keywords

hedgingasymmetric riskfully nonlinear parabolic PDEregression Monte Carlo

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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Cites Work

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