Hedging error as generalized timing risk-Reference-Cited by-同舟云学术

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Hedging error as generalized timing risk

Published:2023-01-24 Issue:4 Volume:23 Page:693-703
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Akahori J.¹^ORCID,Barsotti F.²³^ORCID,Imamura Y.⁴^ORCID

Affiliation:

1. Department of Mathematical Sciences, Ritsumeikan University, Shiga, Japan

2. DIAM (Delft Institute of Applied Mathematics), TU Delft, Delft, The Netherlands

3. Institute for Advanced Study (IAS), University of Amsterdam, Amsterdam, The Netherlands

4. Faculty of Mathematics and Physics, Institute of Science and Engineering, Kanazawa University, Kanazawa, Ishikawa, Japan

Funder

JSPS

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2022.2154255

Reference23 articles.

1. Existence of Optimal Stochastic Control Laws

2. Deep hedging

3. Carr, P. and Chou, A., Hedging complex barrier options. Morgan Stanley working paper, 1997b.

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