A Time-Series Approach to Non-Self-Financing Hedging in a Discrete-Time Incomplete Market
Joint Authors
Kimball, Lucia
Josephy, Norman
Steblovskaya, Victoria
Source
Journal of Applied Mathematics and Stochastic Analysis
Issue
Vol. 2008, Issue 2008 (31 Dec. 2008), pp.1-20, 20 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2008-09-02
Country of Publication
Egypt
No. of Pages
20
Main Subjects
Abstract EN
We present an algorithm producing a dynamic non-self-financing hedging strategy in an incomplete market corresponding to investor-relevant risk criterion.
The optimization is a two-stage process that first determines market calibrated model parameters that correspond to the market price of the option being hedged.
In the second stage, an optimal set of model parameters is chosen from the market calibrated set.
This choice is based on stock price simulations using a time-series model for stock price jump evolution.
Results are presented for options traded on the New York Stock Exchange.
American Psychological Association (APA)
Josephy, Norman& Kimball, Lucia& Steblovskaya, Victoria. 2008. A Time-Series Approach to Non-Self-Financing Hedging in a Discrete-Time Incomplete Market. Journal of Applied Mathematics and Stochastic Analysis،Vol. 2008, no. 2008, pp.1-20.
https://search.emarefa.net/detail/BIM-459539
Modern Language Association (MLA)
Josephy, Norman…[et al.]. A Time-Series Approach to Non-Self-Financing Hedging in a Discrete-Time Incomplete Market. Journal of Applied Mathematics and Stochastic Analysis No. 2008 (2008), pp.1-20.
https://search.emarefa.net/detail/BIM-459539
American Medical Association (AMA)
Josephy, Norman& Kimball, Lucia& Steblovskaya, Victoria. A Time-Series Approach to Non-Self-Financing Hedging in a Discrete-Time Incomplete Market. Journal of Applied Mathematics and Stochastic Analysis. 2008. Vol. 2008, no. 2008, pp.1-20.
https://search.emarefa.net/detail/BIM-459539
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-459539
