Literatura académica sobre el tema "Discrete hedging"
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Artículos de revistas sobre el tema "Discrete hedging"
Hussain, Sultan, Salman Zeb, Muhammad Saleem y Nasir Rehman. "Hedging error estimate of the american put option problem in jump-diffusion processes". Filomat 32, n.º 8 (2018): 2813–24. http://dx.doi.org/10.2298/fil1808813h.
Texto completoRémillard, Bruno y Sylvain Rubenthaler. "Optimal hedging in discrete time". Quantitative Finance 13, n.º 6 (junio de 2013): 819–25. http://dx.doi.org/10.1080/14697688.2012.745012.
Texto completoBrealey, R. A. y E. C. Kaplanis. "Discrete exchange rate hedging strategies". Journal of Banking & Finance 19, n.º 5 (agosto de 1995): 765–84. http://dx.doi.org/10.1016/0378-4266(95)00089-y.
Texto completoBRODÉN, MATS y PETER TANKOV. "TRACKING ERRORS FROM DISCRETE HEDGING IN EXPONENTIAL LÉVY MODELS". International Journal of Theoretical and Applied Finance 14, n.º 06 (septiembre de 2011): 803–37. http://dx.doi.org/10.1142/s0219024911006760.
Texto completoDariane, Alireza B., Mohammad M. Sabokdast, Farzane Karami, Roza Asadi, Kumaraswamy Ponnambalam y Seyed Jamshid Mousavi. "Integrated Operation of Multi-Reservoir and Many-Objective System Using Fuzzified Hedging Rule and Strength Pareto Evolutionary Optimization Algorithm (SPEA2)". Water 13, n.º 15 (21 de julio de 2021): 1995. http://dx.doi.org/10.3390/w13151995.
Texto completoHamdi, Haykel y Jihed Majdoub. "Risk-sharing finance governance: Islamic vs conventional indexes option pricing". Managerial Finance 44, n.º 5 (14 de mayo de 2018): 540–50. http://dx.doi.org/10.1108/mf-05-2017-0199.
Texto completoSchweizer, Martin. "Variance-Optimal Hedging in Discrete Time". Mathematics of Operations Research 20, n.º 1 (febrero de 1995): 1–32. http://dx.doi.org/10.1287/moor.20.1.1.
Texto completoKu, Hyejin, Kiseop Lee y Huaiping Zhu. "Discrete time hedging with liquidity risk". Finance Research Letters 9, n.º 3 (septiembre de 2012): 135–43. http://dx.doi.org/10.1016/j.frl.2012.02.002.
Texto completoPark, Sang-Hyeon y Kiseop Lee. "Hedging with Liquidity Risk under CEV Diffusion". Risks 8, n.º 2 (5 de junio de 2020): 62. http://dx.doi.org/10.3390/risks8020062.
Texto completoBaule, Rainer y Philip Rosenthal. "Time-Discrete Hedging of Down-and-Out Puts with Overnight Trading Gaps". Journal of Risk and Financial Management 15, n.º 1 (11 de enero de 2022): 29. http://dx.doi.org/10.3390/jrfm15010029.
Texto completoTesis sobre el tema "Discrete hedging"
Brodén, Mats. "On the convergence of discrete time hedging schemes /". Lund : Centre for Mathematical Sciences, Mathematical Statistics, Faculty of Engineering, Lund University, 2008. http://www.maths.lth.se.
Texto completoXu, Kun. "Static hedging of barrier options in discrete and continuous time". Thesis, Uppsala University, Department of Mathematics, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-120232.
Texto completoNg, Desmond Siew Wai. "Nonlinear Pricing in Discrete-time under Default and Optimal Collateral". Thesis, The University of Sydney, 2018. http://hdl.handle.net/2123/19637.
Texto completoLazier, Iuri. "Hedge de opção utilizando estratégias dinâmicas multiperiódicas autofinanciáveis em tempo discreto em mercado incompleto". Universidade de São Paulo, 2009. http://www.teses.usp.br/teses/disponiveis/12/12139/tde-11092009-103057/.
Texto completoThis work analyzes three option hedging strategies, to identify the importance of choosing a strategy in order to achieve a good hedging performance. A retrospective analysis of the concept of hedging is conducted and a general hedging theory is presented. Following, some comparative papers of hedging performance and their implementation methodologies are described. For the present comparative analysis, three hedging strategies for European options have been selected: the first one based on the Black-Scholes-Merton model for option pricing, the second one based on a dynamic programming solution for dynamic multiperiod hedging and the third one based on a GARCH model for option pricing. The strategies are compared under their theoric premisses and through comparative performance testes. The performances of the strategies are compared under a dynamically adjusted multiperiodic and self-financing perspective. Data for performance comparison are generated by simulation and performance is evaluated by mean absolute errors and mean squared errors resulting on the hedging portfolio. An analysis is also done regarding estimation approaches and their implications over the performance of the strategies.
Menes, Matheus Dorival Leonardo Bombonato. "Versão discreta do modelo de elasticidade constante da variância". Universidade de São Paulo, 2012. http://www.teses.usp.br/teses/disponiveis/55/55134/tde-16042013-151325/.
Texto completoIn this work we propose a market model using a discretization scheme of the random Brownian motion proposed by Leão & Ohashi (2010). With this model, for any given payoff function, we develop a hedging strategy and a methodology to option pricing
De, Vita Renato. "Arbitragem estatística com opções utilizando modelo de volatilidade incerta e hedging estático". reponame:Repositório Institucional do FGV, 2014. http://hdl.handle.net/10438/11992.
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Com o objetivo de identificar oportunidades de arbitragem estatística no mercado de opções brasileiro, este trabalho utiliza o modelo de volatilidade incerta e o conceito de Hedging Estático, no apreçamento de um portfólio composto por diversas opções. São também incluídos os custos de transação relacionados a estruturação de um portfólio livre de risco, obtendo assim um modelo que pode ser facilmente implementado através da utilização do método de diferenças finitas explicito. Na aplicação do modelo ao mercado de opções sobre a ação preferencial da Petrobrás (PETR4), foi estabelecido um critério para estabelecer a frequência do ajuste do delta hedge do portfólio livre de risco de maneira a não incorrer em custos de transação elevados. Foi escolhido o período entre 19/05/08 e 20/01/14 para analisar o desempenho do modelo, selecionando-se em cada data de cálculo um conjunto de 11 opções de diferentes strikes e mesmo vencimento para compor o portfólio. O modelo apresentou um bom desempenho quando desconsiderados os custos de transação na apuração do resultado da estratégia de arbitragem, obtendo na maior parte dos casos resultados positivos. No entanto, ao incorporar os custos de transação, o desempenho obtido pelo modelo foi ruim, uma vez que na maior parte dos casos o resultado apresentado foi negativo.
For the purpose to identify statistical arbitrage opportunities in the Brazilian options market, this paper uses the model of uncertain volatility and the concept of Static Hedging, in the pricing of a portfolio comprised of several options. Also were included transaction costs related to structure a risk free portfolio, thus obtaining a model that can be easily implemented by using the explicit finite difference method. In applying the model for the Petrobras preferred (PETR4) options, were established a criterion to define the frequency of delta hedges adjustment of the risk-free portfolio in order to do not incur in high transaction costs. The period between 19/05/08 and 01/20/14 was chosen to analyze the performance of the model, selecting at each calculation date a set of 11 options of different strikes and the same maturity to compose the portfolio. The model performed well when ignored transaction costs in determining the outcome of the arbitration strategy, obtaining in most cases positive results. However, once incorporated transaction costs, the performance obtained by the model was bad, since in most cases the result presented was negative.
Cai, Jiatu. "Méthodes asymptotiques en contrôle stochastique et applications à la finance". Sorbonne Paris Cité, 2016. http://www.theses.fr/2016USPCC338.
Texto completoIn this thesis, we study several mathematical finance problems related to the presence of market imperfections. Our main approach for solving them is to establish a relevant asymptotic framework in which explicit approximate solutions can be obtained for the associated control problems. In the first part of this thesis, we are interested in the pricing and hedging of European options. We first consider the question of determining the optimal rebalancing dates for a replicating portfolio in the presence of a drift in the underlying dynamics. We show that in this situation, it is possible to generate positive returns while hedging the option and describe a rebalancing strategy which is asymptotically optimal for a mean-variance type criterion. Then we propose an asymptotic framework for options risk management under proportional transaction costs. Inspired by Leland’s approach, we develop an alternative way to build hedging portfolios enabling us to minimize hedging errors. The second part of this manuscript is devoted to the issue of tracking a stochastic target. The agent aims at staying close to the target while minimizing tracking efforts. In a small costs asymptotics, we establish a lower bound for the value function associated to this optimization problem. This bound is interpreted in term of ergodic control of Brownian motion. We also provide numerous examples for which the lower bound is explicit and attained by a strategy that we describe. In the last part of this thesis, we focus on the problem of consumption-investment with capital gains taxes. We first obtain an asymptotic expansion for the associated value function that we interpret in a probabilistic way. Then, in the case of a market with regime-switching and for an investor with recursive utility of Epstein-Zin type, we solve the problem explicitly by providing a closed-form consumption-investment strategy. Finally, we study the joint impact of transaction costs and capital gains taxes. We provide a system of corrector equations which enables us to unify the results in [ST13] and [CD13]
Chou, Ting-Hsuan y 周庭萱. "Optimal Variance Hedging in Discrete Time". Thesis, 2015. http://ndltd.ncl.edu.tw/handle/3q52pw.
Texto completoChiou, Shang-Chan y 邱上展. "The Pricing and Hedging of Discrete Reset Option". Thesis, 2000. http://ndltd.ncl.edu.tw/handle/21874996374717783062.
Texto completo國立臺灣大學
財務金融學研究所
88
Abstract : In recent years, many kinds of reset option were issued with the character of resetting the strike price when the price of underlying asset touches the barrier. Reset Options can be classified according to whether the price of underlying assets has been continuous observed or not. Reset Options with continuous observation reset the strike price when the stock price hits the barrier while discrete reset options reset only when the stock price touches the barrier at some specific observation time point, such as one time a week, or two times a month. This thesis focus on the discrete observation type. This thesis proves the following results: 1. With the character of “discreteness”, Discrete Reset Option will be cheaper than reset options with continuous observation of stock price. Moreover, its cost increases little when compared with the one whose reset property just covers a partial period of option’s life. Thus, these advantageous properties let Discrete Reset Option more easily be promoted in the financial market. This thesis generalizes In-Out Parity to prove that Discrete Reset Option can be treated as a portfolio of discrete barrier options. M-steps recursion method [AitSahlia and Lai (1997)] and generalized In-Out Parity are mainly used to price discrete reset option. 2. When dynamic hedging is applied to a reset option, two problems are encountered: delta jump and negative delta. Unfortunately, put-call symmetry (PCS), the powerful static hedging method used in reset options or barrier options of continuous type, does not work when applying to discrete reset option. Under the dilemma, this thesis designs a “multi-barriers reset option”. It can be proved to be free of hedging problems without losing its function of protecting downside risk. 3. American type discrete barrier option can be priced with modified trinomial tree. Still, it has hedging problems mentioned above. By the same concept as introduced in the European type, “multi-barriers” can be applied to solve this problems.
Huang, Chun-chang y 黃俊彰. "Optimal Hedging Strategy with Partial Information in Discrete Financial Model". Thesis, 2007. http://ndltd.ncl.edu.tw/handle/54266453015473003298.
Texto completo國立高雄大學
統計學研究所
95
From the perspectives of the investors, we invest in some assets in discrete time and thus, we usually observe the discrete information from the market. In this paper we give the investors three main results for our discrete financial model. On the other hand, from the perspectives of the financial institutions, we face the problem about how to reduce the risk of the investment with consumptions. Then we have similar conclusion with Follmer and Sondermann (1986).
Libros sobre el tema "Discrete hedging"
Traugott, John. Hedging Options in Discrete Time. Independently Published, 2018.
Buscar texto completoCapítulos de libros sobre el tema "Discrete hedging"
Fukasawa, Masaaki. "Asymptotically Efficient Discrete Hedging". En Stochastic Analysis with Financial Applications, 331–46. Basel: Springer Basel, 2011. http://dx.doi.org/10.1007/978-3-0348-0097-6_19.
Texto completoPrivault, Nicolas. "Pricing and Hedging in Discrete Time". En Introduction to Stochastic Finance with Market Examples, 65–112. 2a ed. Boca Raton: Chapman and Hall/CRC, 2022. http://dx.doi.org/10.1201/9781003298670-3.
Texto completoHuang, Shih-Feng y Meihui Guo. "Dynamic Programming and Hedging Strategies in Discrete Time". En Handbook of Computational Finance, 605–31. Berlin, Heidelberg: Springer Berlin Heidelberg, 2011. http://dx.doi.org/10.1007/978-3-642-17254-0_22.
Texto completoRémillard, Bruno, Alexandre Hocquard, Hugues Langlois y Nicolas Papageorgiou. "Optimal Hedging of American Options in Discrete Time". En Springer Proceedings in Mathematics, 145–70. Berlin, Heidelberg: Springer Berlin Heidelberg, 2012. http://dx.doi.org/10.1007/978-3-642-25746-9_5.
Texto completoKolkiewicz, Adam W. "Optimal Static Hedging of Non-tradable Risks with Discrete Distributions". En Springer Proceedings in Mathematics & Statistics, 531–41. Cham: Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-319-99719-3_48.
Texto completoDuong, Thanh, Quyen Ho, An Tran y Minh Tran. "Optimal Discrete Hedging in Garman-Kohlhagen Model with Liquidity Risk". En Advances in Intelligent Systems and Computing, 377–88. Cham: Springer International Publishing, 2015. http://dx.doi.org/10.1007/978-3-319-18167-7_33.
Texto completoDi Masi, G. B., E. Platen y W. J. Runggaldier. "Hedging of Options under Discrete Observation on Assets with Stochastic Volatility". En Seminar on Stochastic Analysis, Random Fields and Applications, 359–64. Basel: Birkhäuser Basel, 1995. http://dx.doi.org/10.1007/978-3-0348-7026-9_25.
Texto completoČerný, Aleš. "Discrete-Time Quadratic Hedging of Barrier Options in Exponential Lévy Model". En Springer Proceedings in Mathematics & Statistics, 257–75. Cham: Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-45875-5_12.
Texto completoEl-Férik, Sami y Roland P. Malhamé. "Optimizing the transient behavior of hedging control policies in manufacturing systems". En 11th International Conference on Analysis and Optimization of Systems Discrete Event Systems, 565–71. Berlin, Heidelberg: Springer Berlin Heidelberg, 1994. http://dx.doi.org/10.1007/bfb0033588.
Texto completoViens, Frederi. "A Didactic Introduction to Risk Management via Hedging in Discrete and Continuous Time". En Statistical Methods and Applications in Insurance and Finance, 3–37. Cham: Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-30417-5_1.
Texto completoActas de conferencias sobre el tema "Discrete hedging"
Bhat, Sanjay, VijaySekhar Chellaboina, Anil Bhatia, Sandeep Prasad y M. Uday Kumar. "Discrete-time, minimum-variance hedging of European contingent claims". En 2009 Joint 48th IEEE Conference on Decision and Control (CDC) and 28th Chinese Control Conference (CCC). IEEE, 2009. http://dx.doi.org/10.1109/cdc.2009.5399522.
Texto completoSubramanian, Easwar y Sanjay P. Bhat. "Discrete-Time Quadratic-Optimal Hedging Strategies for European Contingent Claims". En 2015 IEEE Symposium Series on Computational Intelligence (SSCI). IEEE, 2015. http://dx.doi.org/10.1109/ssci.2015.249.
Texto completoSubramanian, Easwar, Vijaysekhar Chellaboina y Arihant Jain. "Explicit Solutions of Discrete-Time Hedging Strategies for Multi-Asset Options". En 2016 International Conference on Industrial Engineering, Management Science and Application (ICIMSA). IEEE, 2016. http://dx.doi.org/10.1109/icimsa.2016.7504008.
Texto completoSubramanian, Easwar, Vijaysekhar Chellaboina y Arihant Jain. "Performance Evaluation of Discrete-Time Hedging Strategies for European Contingent Claims". En 2016 International Conference on Industrial Engineering, Management Science and Application (ICIMSA). IEEE, 2016. http://dx.doi.org/10.1109/icimsa.2016.7504026.
Texto completoCaccia, Massimo y Bruno Rémillard. "Option Pricing and Hedging for Discrete Time Autoregressive Hidden Markov Model". En Innovations in Insurance, Risk- and Asset Management. WORLD SCIENTIFIC, 2018. http://dx.doi.org/10.1142/9789813272569_0012.
Texto completoCosta, O. L. V., A. C. Maiali y A. de C. Pinto. "Mean-variance hedging strategies in discrete time and continuous state space". En COMPUTATIONAL FINANCE 2006. Southampton, UK: WIT Press, 2006. http://dx.doi.org/10.2495/cf060111.
Texto completoUday Kumar, M., Vijaysekhar Chellaboina, Sanjay Bhat, Sandeep Prasad y Anil Bhatia. "Discrete-time optimal hedging for multi-asset path-dependent European contingent claims". En 2009 Joint 48th IEEE Conference on Decision and Control (CDC) and 28th Chinese Control Conference (CCC). IEEE, 2009. http://dx.doi.org/10.1109/cdc.2009.5399932.
Texto completoSubramanian, Easwar y Vijaysekhar Chellaboina. "Explicit solutions of discrete-time quadratic optimal hedging strategies for European contingent claims". En 2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr). IEEE, 2014. http://dx.doi.org/10.1109/cifer.2014.6924108.
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