4 search results - page 1 / 1 » Robust One-Period Option Hedging |
IOR
2006
13 years 4 months ago
2006
The paper considers robust optimization to cope with uncertainty about the stock return process in one period option hedging problems. The robust approach relates portfolio choice ...
SIAMFM
2011
12 years 7 months ago
2011
We consider model-free pricing of digital options, which pay out if the underlying asset has crossed both upper and lower barriers. We make only weak assumptions about the underly...
FS
2010
13 years 3 months ago
2010
We find robust model-free hedges and price bounds for options on the realized variance of [the returns on] an underlying price process. Assuming only that the underlying process ...
STOC
2012
ACM
11 years 7 months ago
2012
ACM
Option contracts are a type of financial derivative that allow investors to hedge risk and speculate on the variation of an asset’s future market price. In short, an option has...