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Optimal hedging in discrete time

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  • Bruno R�millard
  • Sylvain Rubenthaler

Abstract

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Suggested Citation

  • Bruno R�millard & Sylvain Rubenthaler, 2013. "Optimal hedging in discrete time," Quantitative Finance, Taylor & Francis Journals, vol. 13(6), pages 819-825, May.
    • Handle: RePEc:taf:quantf:v:13:y:2013:i:6:p:819-825
    DOI: 10.1080/14697688.2012.745012
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    Citations

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    Cited by:

    1. Maciej Augustyniak & Frédéric Godin & Clarence Simard, 2017. "Assessing the effectiveness of local and global quadratic hedging under GARCH models," Quantitative Finance, Taylor & Francis Journals, vol. 17(9), pages 1305-1318, September.
    2. Peter A. Forsyth & George Labahn, 2017. "$\epsilon$-Monotone Fourier Methods for Optimal Stochastic Control in Finance," Papers 1710.08450, arXiv.org, revised Apr 2018.
    3. Massimo Caccia & Bruno R'emillard, 2017. "Option Pricing and Hedging for Discrete Time Autoregressive Hidden Markov Model," Papers 1707.02019, arXiv.org.
    4. Carbonneau, Alexandre, 2021. "Deep hedging of long-term financial derivatives," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 327-340.
    5. Alexandre Carbonneau, 2020. "Deep Hedging of Long-Term Financial Derivatives," Papers 2007.15128, arXiv.org.
    6. Augustyniak, Maciej & Godin, Frédéric & Simard, Clarence, 2019. "A profitable modification to global quadratic hedging," Journal of Economic Dynamics and Control, Elsevier, vol. 104(C), pages 111-131.
    7. F. Godin, 2016. "Minimizing CVaR in global dynamic hedging with transaction costs," Quantitative Finance, Taylor & Francis Journals, vol. 16(3), pages 461-475, March.
    8. Maciej Augustyniak & Alexandru Badescu, 2021. "On the computation of hedging strategies in affine GARCH models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 710-735, May.
    9. Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François, 2023. "A discrete-time hedging framework with multiple factors and fat tails: On what matters," Journal of Econometrics, Elsevier, vol. 232(2), pages 416-444.

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