Hedging options under transaction costs and stochastic volatility
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Publication:951343
DOI10.1016/S0165-1889(02)00054-4zbMath1178.91196MaRDI QIDQ951343
Ton Vorst, Roy Kouwenberg, Jacek Gondzio
Publication date: 24 October 2008
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
stochastic programmingstochastic volatilityhigh-performance computingcomputational financeoption hedging
Stochastic programming (90C15) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (11)
Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs ⋮ Reducing transaction costs for interest rate risk hedging with stochastic programming ⋮ It only takes a few moments to hedge options ⋮ Back-testing the performance of an actively managed option portfolio at the Swedish stock market, 1990-1999 ⋮ Epi-convergent discretizations of multistage stochastic programs via integration quadratures ⋮ Hedging European and Barrier options using stochastic optimization ⋮ Option pricing and hedging with minimum local expected shortfall ⋮ Double knock-out Asian barrier options which widen or contract as they approach maturity ⋮ Auto-static for the people: risk-minimizing hedges of barrier options ⋮ Dynamic option hedging via stochastic model predictive control based on scenario simulation ⋮ Modeling and evaluation of the option book hedging problem using stochastic programming
Uses Software
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