Hedging options under transaction costs and stochastic volatility

Author:

Gondzio Jacek,Kouwenberg Roy,Vorst Ton

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference37 articles.

1. Managing the volatility risk of portfolios of derivative securities;Avellaneda;Applied Mathematical Finance,1996

2. Pricing and hedging derivative securities in markets with uncertain volatilities;Avellaneda;Applied Mathematical Finance,1995

3. Empirical performance of alternative option pricing models;Bakshi;Journal of Finance,1997

4. Partitioning procedures for solving mixed-variables programming problems;Benders;Numerische Mathematik,1962

5. Introduction to Stochastic Programming;Birge,1997

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1. Reducing transaction costs for interest rate risk hedging with stochastic programming;European Journal of Operational Research;2022-11

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3. 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;2020-11

4. It only takes a few moments to hedge options;Journal of Economic Dynamics and Control;2019-03

5. Dynamic option hedging with transaction costs: A stochastic model predictive control approach;International Journal of Robust and Nonlinear Control;2017-09-06

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