A Discrete-Time Hedging Framework with Multiple Factors and Fat Tails: On What Matters

2020 ◽  
Author(s):  
Maciej Augustyniak ◽  
Alex Badescu ◽  
Jean-François Bégin
Keyword(s):  
Discrete Time ◽  
Fat Tails ◽  
Multiple Factors ◽  
Discrete Time Hedging ◽  
What Matters

A discrete-time hedging framework with multiple factors and fat tails: On what matters

2021 ◽  
Author(s):  
Maciej Augustyniak ◽  
Alexandru Badescu ◽  
Jean-François Bégin
Keyword(s):  
Discrete Time ◽  
Fat Tails ◽  
Multiple Factors ◽  
Discrete Time Hedging ◽  
What Matters

Asymptotics for discrete time hedging errors under fractional Black–Scholes models

2019 ◽  
Vol 149 ◽  
pp. 160-170
Author(s):  
Wensheng Wang
Keyword(s):  
Discrete Time ◽  
Black Scholes ◽  
Discrete Time Hedging

scholarly journals Hedging error estimate of the american put option problem in jump-diffusion processes

Filomat ◽  
2018 ◽  
Vol 32 (8) ◽  
pp. 2813-2824
Author(s):  
Sultan Hussain ◽  
Salman Zeb ◽  
Muhammad Saleem ◽  
Nasir Rehman
Keyword(s):  
Discrete Time ◽  
Continuous Time ◽  
Diffusion Processes ◽  
Asset Price ◽  
Independent Random Variables ◽  
American Put Option ◽  
Jump Diffusion Processes ◽  
Put Option ◽  
Discrete Time Hedging ◽  
American Put

We consider discrete time hedging error of the American put option in case of brusque fluctuations in the price of assets. Since continuous time hedging is not possible in practice so we consider discrete time hedging process. We show that if the proportions of jump sizes in the asset price are identically distributed independent random variables having finite moments then the value process of the discrete time hedging uniformly approximates the value process of the corresponding continuous-time hedging in the sense of L1 and L2-norms under the real world probability measure.

scholarly journals Estimate for the discrete time hedging error of the American option on a dividend-paying stock

2012 ◽  
pp. 137-163
Author(s):  
Sultan Hussain ◽  
Nasir Rehman
Keyword(s):  
Discrete Time ◽  
American Option ◽  
Discrete Time Hedging

A Note on 'Discrete Time Hedging Errors for Options with Irregular Payoffs'

2012 ◽  
Author(s):  
Ales Cerny ◽  
Juraj Spilda
Keyword(s):  
Discrete Time ◽  
Discrete Time Hedging

Deep learning for discrete-time hedging in incomplete markets

2021 ◽  
Author(s):  
Simon Fecamp ◽  
Joseph Mikael ◽  
Xavier Warin
Keyword(s):  
Deep Learning ◽  
Incomplete Markets ◽  
Discrete Time ◽  
Discrete Time Hedging

Option Pricing and Dynamic Discrete Time Hedging for Regime-Switching Geometric Random Walks Models

2010 ◽  
Author(s):  
Bruno Remillard ◽  
Alexandre Hocquard ◽  
Nicolas A. Papageorgiou
Keyword(s):  
Option Pricing ◽  
Random Walks ◽  
Discrete Time ◽  
Regime Switching ◽  
Discrete Time Hedging
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