A time-series approach to non-self-financing hedging in a discrete-time incomplete market
type: Item
instance of: scholarly article
title: A time-series approach to non-self-financing hedging in a discrete-time incomplete market
zbMATH Open document ID: 1152.91730
DOI: 10.1155/2008/275217
author: B. E. Eshmatov
published in: Journal of Applied Mathematics and Stochastic Analysis
publication date: 2008-10-15T00:00:00Z
full work available at URL: https://eudml.org/doc/54916
review text: Summary: We present an algorithm producing a dynamic non-self-financing hedging strategy in an incomplete market corresponding to investor-relevant risk criterion. The optimization is a two-stage process that first determines market calibrated model parameters that correspond to the market price of the option being hedged. In the second stage, an optimal set of model parameters is chosen from the market calibrated set. This choice is based on stock price simulations using a time-series model for stock price jump evolution. Results are presented for options traded on the New York Stock Exchange.
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 5351720
Wikidata QID: Q58645899
describes a project that uses: S-PLUS
MaRDI profile type: Publication
OpenAlex ID: W2115040485
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description: scientific article; zbMATH DE number 5351720