Geodesic
Modernization of the stop-loss start-gain strategy for hedging an option position
Trudy Instituta matematiki i mehaniki, Trudy Instituta Matematiki i Mekhaniki UrO RAN, Tome 19 (2013) no. 2, pp. 179-192 Cet article a éte moissonné depuis la source Math-Net.Ru

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Issues of hedging option positions by an American call-option seller are considered. The stop-loss start-gain strategy is modified by introducing a hedging “insensitivity” band. Average losses of a hedger using this method of hedging are calculated. An optimal width of the “insensitivity” band for minimizing the hedger's average losses is chosen.
Keywords: option hedging, stop-loss start-gain strategy, Wiener process, distribution of the number of crossings of a strip, optimal hedging band. 
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A. I. Kibzun; V. R. Sobol'. Modernization of the stop-loss start-gain strategy for hedging an option position. Trudy Instituta matematiki i mehaniki, Trudy Instituta Matematiki i Mekhaniki UrO RAN, Tome 19 (2013) no. 2, pp. 179-192. http://geodesic.mathdoc.fr/item/TIMM_2013_19_2_a16/

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