Optimal Dynamic Hedging of Multi-Asset Options

2009 ◽  
Author(s):  
Andrea Petrelli ◽  
Ram Balachandran ◽  
Jun Zhang ◽  
Olivia Siu ◽  
Rupak Chatterjee ◽  
...  
Keyword(s):  
Dynamic Hedging ◽  
Optimal Dynamic

Optimal Dynamic Hedging via Copula-Threshold-GARCH Models

2009 ◽  
Author(s):  
YiHao Lai ◽  
Cathy W. S. Chen ◽  
Richard H. Gerlach
Keyword(s):  
Garch Models ◽  
Dynamic Hedging ◽  
Optimal Dynamic

Optimal Dynamic Hedging in Unbiased Futures Markets

1996 ◽  
Vol 78 (1) ◽  
pp. 13-20 ◽  
Author(s):  
Robert J. Myers ◽  
Steven D. Hanson
Keyword(s):  
Futures Markets ◽  
Dynamic Hedging ◽  
Optimal Dynamic

Optimal Dynamic Hedging of Equity Options: Residual-Risks, Transaction-Costs, & Conditioning

2010 ◽  
Author(s):  
Andrea Petrelli ◽  
Ram Balachandran ◽  
Olivia Siu ◽  
Rupak Chatterjee ◽  
Zhang Jun ◽  
...  
Keyword(s):  
Transaction Costs ◽  
Dynamic Hedging ◽  
Equity Options ◽  
Optimal Dynamic

Optimal Dynamic Hedging in Incomplete Futures Markets

1996 ◽  
pp. 103-122
Author(s):  
Abraham Lioui ◽  
Pascal Nguyen Duc Trong ◽  
Patrice Poncet
Keyword(s):  
Futures Markets ◽  
Dynamic Hedging ◽  
Optimal Dynamic

DYNAMIC HEDGING OF INFLATION RISK

2009 ◽  
Vol 05 (01) ◽  
pp. 0950003
Author(s):  
UDO BROLL ◽  
STEFAN SCHUBERT
Keyword(s):  
Futures Markets ◽  
Price Level ◽  
Asset Price ◽  
Risk Averse ◽  
Dynamic Hedging ◽  
Hedging Strategy ◽  
Inflation Risk ◽  
Optimal Dynamic ◽  
Futures Price ◽  
International Investors

National and international investors are exposed to risk, stemming from volatile asset prices and inflation uncertainty. However investors can enter futures markets to hedge against these risks. The paper develops a dynamic hedging model, where the evolution of asset price, price level and futures price and hence real wealth is stochastic. For a risk averse investor, optimal dynamic consumption and hedging strategy are derived and discussed.

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