Learning Sequential Option Hedging Models from Market Data

2021 ◽  
pp. 106277
Author(s):  
Ke Nian ◽  
Thomas F Coleman ◽  
Yuying Li
Keyword(s):  
2017 ◽  
Vol 20 (01) ◽  
pp. 1750002
Author(s):  
NORMAN JOSEPHY ◽  
LUCIA KIMBALL ◽  
VICTORIA STEBLOVSKAYA

We present a numerical study of non-self-financing hedging of European options under proportional transaction costs. We describe an algorithmic approach based on a discrete time financial market model that extends the classical binomial model. We review the analytical basis for our algorithm and present a variety of empirical results using real market data. The performance of the algorithm is evaluated by comparing to a Black–Scholes delta hedge with transaction costs incorporated. We also evaluate the impact of recalibrating the hedging strategy one or more times during the life of the option using the most recent market data. These results are compared to a recalibrated Black–Scholes delta hedge modified for transaction costs.


2014 ◽  
Vol 11 (1) ◽  
pp. 11-22 ◽  
Author(s):  
Jonathan Chaloff

The growing complexity of selection criteria for discretionary labour migration in OECD countries has been accompanied by an expanded demand for labour market analysis and consultation with stakeholders. While some features of general or detailed criteria may be fixed in legislation, numerical quotas or targets, shortage lists, and multiple-criteria points-based systems are generally subject to periodic review and revision based on labour market data and consultation with stakeholders. Official government bodies have maintained co-ordination of this process, with varying degrees of externalization. In most countries expertise is internal, with recourse to external mandated bodies rare. In almost all cases, however, the process is designed to promote consensus around the policy while maintaining political control.


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