Hedging European and Barrier options using stochastic optimization

We hedge European and Barrier options in a discrete time and discrete space setting by uwing stochastic optimization to minimize the mean downside hedge error under transaction costs. Scenario trees are generated using a method which ensures the absence of arbitrage and which matches the mean and va...

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Veröffentlicht in:	Quantitative finance 2004-10, Vol.4 (5), p.549-557
1. Verfasser:	Villaverde, Michael
Format:	Artikel
Sprache:	eng
Schlagworte:	Brownian motion Hedging Optimization Options trading Prices Stochastic models Studies
Online-Zugang:	Volltext
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