Robustness of hedging strategies for European options

被引：0
|
作者：
Gallus, C [1 ]
机构：
[1] UNIV ERLANGEN NURNBERG,INST MATH,D-91054 ERLANGEN,GERMANY
来源：
STOCHASTIC PROCESSES AND RELATED TOPICS | 1996年 / 10卷
关键词：
D O I：
暂无
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
引用
收藏
页码：23 / 31
页数：9
相关论文
共 50 条
  • [41] Hedging processes for catastrophe options
    Hsien-Jen Lin
    Journal of the Korean Statistical Society, 2012, 41 : 491 - 504
  • [42] HEDGING PRODUCTION RISK WITH OPTIONS
    SAKONG, Y
    HAYES, DJ
    HALLAM, A
    AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS, 1993, 75 (02) : 408 - 415
  • [43] Robust hedging of barrier options
    Brown, H
    Hobson, D
    Rogers, LCG
    MATHEMATICAL FINANCE, 2001, 11 (03) : 285 - 314
  • [44] The demand for hedging with futures and options
    Frechette, DL
    JOURNAL OF FUTURES MARKETS, 2001, 21 (08) : 693 - 712
  • [45] Optimal delta hedging for options
    Hull, John
    White, Alan
    JOURNAL OF BANKING & FINANCE, 2017, 82 : 180 - 190
  • [46] Static hedging of exotic options
    Carr, P
    Ellis, K
    Gupta, V
    JOURNAL OF FINANCE, 1998, 53 (03): : 1165 - 1190
  • [47] Hedging of options with a given probability
    Novikov, AA
    THEORY OF PROBABILITY AND ITS APPLICATIONS, 1999, 43 (01) : 135 - 144
  • [48] OPTIMAL HEDGING WITH FUTURES OPTIONS
    WOLF, A
    JOURNAL OF ECONOMICS AND BUSINESS, 1987, 39 (02) : 141 - 158
  • [49] Explicit Solutions of Discrete-time Hedging Strategies for Multi-Asset Options
    Subramanian, Easwar
    Chellaboina, Vijaysekhar
    Jain, Arihant
    2016 INTERNATIONAL CONFERENCE ON INDUSTRIAL ENGINEERING, MANAGEMENT SCIENCE AND APPLICATIONS (ICIMSA), 2016,
  • [50] Pricing and Hedging Options on Assets with Options on Related Assets
    Madan, Dilip B.
    Wang, King
    JOURNAL OF DERIVATIVES, 2021, 29 (01): : 27 - 47
12345