Global Hedging through Post-Decision State Variables
نویسندگان
چکیده
منابع مشابه
Global Hedging through Post-Decision State Variables
Unlike delta-hedging or similar methods based on Greeks, global hedging is an approach that optimizes some terminal criterion that depends on the difference between the value of a derivative security and that of its hedging portfolio at maturity or exercise. Global hedging methods in discrete time can be implemented using dynamic programming. They provide optimal strategies at all rebalancing d...
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ژورنال
عنوان ژورنال: Journal of Risk and Financial Management
سال: 2017
ISSN: 1911-8074
DOI: 10.3390/jrfm10030016