Discrete-Time Quadratic-Optimal Hedging for European Contingent Claims

SSRN Electronic Journal ◽

10.2139/ssrn.2631004 ◽

2015 ◽

Author(s):

Easwar Subramanian ◽

Sanjay P. Bhat

Keyword(s):

Discrete Time ◽

Contingent Claims ◽

Optimal Hedging

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Discrete-Time Quadratic-Optimal Hedging Strategies for European Contingent Claims

2015 IEEE Symposium Series on Computational Intelligence ◽

10.1109/ssci.2015.249 ◽

2015 ◽

Author(s):

Easwar Subramanian ◽

Sanjay P. Bhat

Keyword(s):

Discrete Time ◽

Contingent Claims ◽

Hedging Strategies ◽

Optimal Hedging

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Discrete-time optimal hedging for multi-asset path-dependent European contingent claims

Proceedings of the 48h IEEE Conference on Decision and Control (CDC) held jointly with 2009 28th Chinese Control Conference ◽

10.1109/cdc.2009.5399932 ◽

2009 ◽

Author(s):

M. Uday Kumar ◽

Vijaysekhar Chellaboina ◽

Sanjay Bhat ◽

Sandeep Prasad ◽

Anil Bhatia

Keyword(s):

Discrete Time ◽

Contingent Claims ◽

Optimal Hedging ◽

Time Optimal ◽

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Explicit solutions of discrete-time quadratic optimal hedging strategies for European contingent claims

2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr) ◽

10.1109/cifer.2014.6924108 ◽

2014 ◽

Author(s):

Easwar Subramanian ◽

Vijaysekhar Chellaboina

Keyword(s):

Discrete Time ◽

Contingent Claims ◽

Explicit Solutions ◽

Hedging Strategies ◽

Optimal Hedging

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Asymptotic Synthesis of Contingent Claims in a Sequence of Discrete-Time Markets

SSRN Electronic Journal ◽

10.2139/ssrn.3402645 ◽

2019 ◽

Author(s):

David M. Kreps ◽

W. Schachermayer

Keyword(s):

Discrete Time ◽

Contingent Claims

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On the Rate of Convergence of Discrete-Time Contingent Claims

Mathematical Finance ◽

10.1111/1467-9965.00080 ◽

2000 ◽

Vol 10 (1) ◽

pp. 53-75 ◽

Author(s):

Steve Heston ◽

Guofu Zhou

Keyword(s):

Rate Of Convergence ◽

Discrete Time ◽

Contingent Claims

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Multidimensional Variance-Optimal Hedging in Discrete-Time Model-A General Approach

Mathematical Finance ◽

10.1111/1467-9965.00092 ◽

2000 ◽

Vol 10 (2) ◽

pp. 243-257 ◽

Author(s):

M. Motoczynski

Keyword(s):

Discrete Time ◽

Discrete Time Model ◽

Optimal Hedging

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The Pricing of Contingent Claims in Discrete Time Models

The Journal of Finance ◽

10.1111/j.1540-6261.1979.tb02070.x ◽

1979 ◽

Vol 34 (1) ◽

pp. 53-68 ◽

Author(s):

M. J. BRENNAN

Keyword(s):

Discrete Time ◽

Contingent Claims ◽

Discrete Time Models

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Performance Evaluation of Discrete-Time Hedging Strategies for European Contingent Claims

2016 International Conference on Industrial Engineering, Management Science and Application (ICIMSA) ◽

10.1109/icimsa.2016.7504026 ◽

2016 ◽

Author(s):

Easwar Subramanian ◽

Vijaysekhar Chellaboina ◽

Arihant Jain

Keyword(s):

Performance Evaluation ◽

Discrete Time ◽

Contingent Claims ◽

Hedging Strategies ◽

Discrete Time Hedging

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Discrete-Time, Minimum-Variance Hedging of European Contingent Claims

SSRN Electronic Journal ◽

10.2139/ssrn.1636116 ◽

2009 ◽

Author(s):

Sanjay P. Bhat ◽

Vijaysekhar Chellaboina ◽

Anil Bhatia

Keyword(s):

Discrete Time ◽

Minimum Variance ◽

Contingent Claims

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No-Arbitrage Valuation of Contingent Claims in Discrete Time

SSRN Electronic Journal ◽

10.2139/ssrn.676009 ◽

2005 ◽

Author(s):

Peter Christoffersen ◽

Redouane Elkamhi ◽

Kris Jacobs

Keyword(s):

Discrete Time ◽

Contingent Claims ◽

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