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Dynamic hedging of basket options under proportional transaction costs using receding horizon control
16 references·7 citing·26 second hop
Dynamic hedging of basket options under proportional transaction costs using receding horizon control (2009)Dynamic hedging of basket options under p…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Quantitative Risk Management:…Theory of rational option pricing (2005)Theory of rational option pri…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…Options, Futures and Other Derivatives (2003)Options, Futures and Other De…Generating Scenario Trees for Multistage Decision Problems (2001)Generating Scenario Trees for…Scenarios for Multistage Stochastic Programs (2000)Scenarios for Multistage Stoc…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Coherent Measures of Risk (1999)Coherent Measures of RiskEuropean Option Pricing with Transaction Costs (1993)European Option Pricing with …Optimal replication of contingent claims under transaction costs (1989)Optimal replication of contin…Option Pricing and Replication with Transactions Costs (1985)Option Pricing and Replicatio…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Pairs trading under transaction costs using model predictive control (2017)Pairs trading under transacti…On a New Paradigm for Stock Trading Via a Model-Free Feedback Controller (2015)On a New Paradigm for Stock T…On market-neutral stock trading arbitrage via linear feedback (2012)On market-neutral stock tradi…Dynamic option hedging via stochastic model predictive control based on scenario simulation (2012)Dynamic option hedging via st…On arbitrage possibilities via linear feedback in an idealized Brownian Motion stock market (2011)On arbitrage possibilities vi…A stochastic model predictive control approach to dynamic option hedging with transaction costs (2011)A stochastic model predictive…Scenario-based stochastic model predictive control for dynamic option hedging (2010)Scenario-based stochastic mod…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)An Introduction to Copulas (1999)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Pair-copula constructions of multiple dependence (2007)Quantitative Risk Management (2011)Selecting and estimating regular vine copulae and application to financial returns (2012)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Arbitrage Theory in Continuous Time (1998)A critical review on supply chain risk – Definition, measure and modeling (2014)Conditional value-at-risk for general loss distributions (2002)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools1,932 cited
  • 1985Option Pricing and Replication with Transactions Costs915 cited
  • 2001Generating Scenario Trees for Multistage Decision Problems674 cited
  • 1989Optimal replication of contingent claims under transaction costs605 cited
  • 1993European Option Pricing with Transaction Costs474 cited
  • 2000Scenarios for Multistage Stochastic Programs

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471 cited

Cited by

  • 2015On a New Paradigm for Stock Trading Via a Model-Free Feedback Controller53 cited
  • 2011On arbitrage possibilities via linear feedback in an idealized Brownian Motion stock market37 cited
  • 2011A stochastic model predictive control approach to dynamic option hedging with transaction costs30 cited
  • 2010Scenario-based stochastic model predictive control for dynamic option hedging29 cited
  • 2012Dynamic option hedging via stochastic model predictive control based on scenario simulation28 cited
  • 2012On market-neutral stock trading arbitrage via linear feedback27 cited
  • 2017Pairs trading under transaction costs using model predictive control24 cited