IDEAS home Printed from https://ideas.repec.org/r/eee/jbfina/v82y2017icp180-190.html

Optimal delta hedging for options

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Yige Wang & Leyao Tong & Yueshu Zhao, 2024. "Revolutionizing Hedge Fund Risk Management: The Power of Deep Learning and LSTM in Hedging Illiquid Assets," JRFM, MDPI, vol. 17(6), pages 1-16, May.
  2. Ke Nian & Thomas F. Coleman & Yuying Li, 2018. "Learning minimum variance discrete hedging directly from the market," Quantitative Finance, Taylor & Francis Journals, vol. 18(7), pages 1115-1128, July.
  3. Horikawa, Hiroaki & Nakagawa, Kei, 2024. "Relationship between deep hedging and delta hedging: Leveraging a statistical arbitrage strategy," Finance Research Letters, Elsevier, vol. 62(PA).
  4. Shvimer, Yossi & Herbon, Avi, 2020. "Comparative empirical study of binomial call-option pricing methods using S&P 500 index data," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  5. Pascal François & Lars Stentoft, 2021. "Smile‐implied hedging with volatility risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1220-1240, August.
  6. Yu, Xiao-Jian & Wang, Zi-Ling & Xiao, Wei-Lin, 2020. "Is the nonlinear hedge of options more effective?—Evidence from the SSE 50 ETF options in China," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  7. Kaeck, Andreas & Seeger, Norman J., 2020. "VIX derivatives, hedging and vol-of-vol risk," European Journal of Operational Research, Elsevier, vol. 283(2), pages 767-782.
  8. Xia, Kun & Yang, Xuewei & Zhu, Peng, 2023. "Delta hedging and volatility-price elasticity: A two-step approach," Journal of Banking & Finance, Elsevier, vol. 153(C).
  9. Shi Qiu & Sovan Mitra, 2018. "Mathematical Properties Of American Chooser Options," Journal of Enterprising Culture (JEC), World Scientific Publishing Co. Pte. Ltd., vol. 21(08), pages 1-30, December.
  10. Josselin Garnier & Knut Solna, 2018. "Optimal hedging under fast-varying stochastic volatility," Papers 1810.08337, arXiv.org, revised Mar 2020.
  11. Hilliard, Jimmy E. & Hilliard, Jitka, 2019. "A jump-diffusion model for pricing and hedging with margined options: An application to Brent crude oil contracts," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 137-155.
  12. Collin Gilstrap & Alex Petkevich & Pavel Teterin & Kainan Wang, 2024. "Lever up! An analysis of options trading in leveraged ETFs," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(6), pages 986-1002, June.
  13. Nian, Ke & Coleman, Thomas F & Li, Yuying, 2021. "Learning sequential option hedging models from market data," Journal of Banking & Finance, Elsevier, vol. 133(C).
  14. Wysocki, Maciej & Ślepaczuk, Robert, 2025. "Systematic index option-writing strategies with Black-Scholes-Merton and Variance-Gamma Models," Economic Modelling, Elsevier, vol. 152(C).
  15. Taicir Mezghani & Mouna Boujelbène Abbes, 2023. "Forecast the Role of GCC Financial Stress on Oil Market and GCC Financial Markets Using Convolutional Neural Networks," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(3), pages 505-530, September.
  16. Tarun Chitra & Theo Diamandis & Nathan Sheng & Luke Sterle & Kamil Yusubov, 2025. "Perpetual Demand Lending Pools," Papers 2502.06028, arXiv.org, revised May 2025.
  17. Maciej Wysocki & Robert Ślepaczuk, 2024. "Construction and Hedging of Equity Index Options Portfolios," Working Papers 2024-14, Faculty of Economic Sciences, University of Warsaw.
  18. Breedon, Francis & Chen, Louisa & Ranaldo, Angelo & Vause, Nicholas, 2023. "Judgment day: Algorithmic trading around the Swiss franc cap removal," Journal of International Economics, Elsevier, vol. 140(C).
  19. Rossi, David J. & Baker, Justin S. & Abt, Robert C., 2023. "Quantifying additionality thresholds for forest carbon offsets in Mississippi pine pulpwood markets," Forest Policy and Economics, Elsevier, vol. 156(C).
  20. Martin Keller-Ressel, 2022. "Bartlett's Delta revisited: Variance-optimal hedging in the lognormal SABR and in the rough Bergomi model," Papers 2207.13573, arXiv.org.
  21. Peng, Cheng & Li, Shuang & Zhao, Yanlong & Bao, Ying, 2021. "Sample average approximation of CVaR-based hedging problem with a deep-learning solution," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
  22. Samuel N. Cohen & Christoph Reisinger & Sheng Wang, 2022. "Hedging option books using neural-SDE market models," Papers 2205.15991, arXiv.org.
  23. Mark Davis & Seiya Goto & Koichi Matsumoto, 2026. "Hedging Derivatives with Recalibration and Model Risk," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 33(1), pages 65-93, March.
  24. Mi‐Hsiu Chiang & Hsin‐Yu Chiu & Robin K. Chou, 2021. "Relevance of the disposition effect on the options market: New evidence," Financial Management, Financial Management Association International, vol. 50(1), pages 75-106, March.
  25. Chunhui Qiao & Xiangwei Wan, 2024. "Enhancing Black-Scholes Delta Hedging via Deep Learning," Papers 2407.19367, arXiv.org, revised Aug 2024.
  26. Johannes Ruf & Weiguan Wang, 2019. "Neural networks for option pricing and hedging: a literature review," Papers 1911.05620, arXiv.org, revised May 2020.
  27. Xianhua Peng & Xiang Zhou & Bo Xiao & Yi Wu, 2024. "A Risk Sensitive Contract-unified Reinforcement Learning Approach for Option Hedging," Papers 2411.09659, arXiv.org.
  28. Kirill Zernikov, 2026. "What Does Deep Hedging Actually Learn? Delta Corrections, Regime Fragility, and Symbolic Distillation," Papers 2605.21696, arXiv.org.
  29. Barletta, Andrea & Santucci de Magistris, Paolo & Sloth, David, 2019. "It only takes a few moments to hedge options," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 251-269.
  30. Johannes Ruf & Weiguan Wang, 2020. "Hedging with Linear Regressions and Neural Networks," Papers 2004.08891, arXiv.org, revised Jun 2021.
  31. Babu Jose & James Varghese, 2021. "Ideal Investment Protection in Optimistic Perceptions: Evidence From the Indian Equity Options Market," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 12(2), pages 327-340, April.
  32. Fuwei Jiang & Jie Kang & Ruzheng Tian & Qingdong Xu, 2025. "Black‐Scholes Meet Imitation Learning: Evidence From Deep Hedging in China," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(8), pages 1071-1087, August.
  33. Hendrik Kohrs & Hermann Mühlichen & Benjamin R. Auer, 2025. "Swing option-implied volatility," Review of Derivatives Research, Springer, vol. 28(3), pages 1-44, October.
  34. Hyung Joo Kim & Dong Hwan Oh, 2025. "Local Estimation for Option Pricing: Improving Forecasts with Market State Information," Finance and Economics Discussion Series 2025-076, Board of Governors of the Federal Reserve System (U.S.).
  35. Roberto Daluiso & Marco Pinciroli & Michele Trapletti & Edoardo Vittori, 2023. "CVA Hedging by Risk-Averse Stochastic-Horizon Reinforcement Learning," Papers 2312.14044, arXiv.org.
  36. Brogi, Athos, 2026. "Delta Hedging with the Modified Binomial Tree," MPRA Paper 128937, University Library of Munich, Germany.
  37. Zoran Stoiljkovic, 2023. "Applying Reinforcement Learning to Option Pricing and Hedging," Papers 2310.04336, arXiv.org.
  38. Maciej Augustyniak & Alexandru Badescu & Mathieu Boudreault, 2023. "On the Measurement of Hedging Effectiveness for Long-Term Investment Guarantees," JRFM, MDPI, vol. 16(2), pages 1-18, February.
  39. 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.
  40. 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.
  41. Edoardo Vittori & Michele Trapletti & Marcello Restelli, 2020. "Option Hedging with Risk Averse Reinforcement Learning," Papers 2010.12245, arXiv.org.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.