Articlegreen2013

Optimal hedging in discrete time

22 citations0/0 files storedQuantitative Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

Abstract

In many applications, one is interested in finding a discrete-time dynamically traded portfolio so that its value at maturity is as close as possible to a target function of the underlying assets. ...

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1995THE GARCH OPTION PRICING MODEL 2006Paul Wilmott on Quantitative Finance 1995Variance-Optimal Hedging in Discrete Time 1980Discretely adjusted option hedges 2007On the structure of general mean-variance hedging strategies 2005Who Needs Hedge Funds? A Copula-Based Approach to Hedge Fund Return Replication 1998A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models 2007Replicating the Properties of Hedge Fund Returns

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