Geodesic
A two-step problem of hedging a European call option under a random duration of transactions
Trudy Instituta matematiki i mehaniki, Trudy Instituta Matematiki i Mekhaniki UrO RAN, Tome 21 (2015) no. 3, pp. 164-174

Voir la notice de l'article provenant de la source Math-Net.Ru

A two-step problem of minimizing average costs of hedging a European call option is studied. The hedging is implemented by buying and selling underlying assets. It is assumed that the durations of asset purchase and sale operations at the market are random and exponentially distributed. The problem is solved by the dynamic programming method. An expression for the mathematical expectation of the function of future losses at the final step is obtained. A numerical algorithm for finding an optimal strategy at the first step is proposed. An example of using the algorithm is given.
Keywords: european option, option hedging, dynamic programming. 
@article{TIMM_2015_21_3_a17,
     author = {A. I. Kibzun and V. R. Sobol'},
     title = {A two-step problem of hedging a {European} call option under a random duration of transactions},
     journal = {Trudy Instituta matematiki i mehaniki},
     pages = {164--174},
     publisher = {mathdoc},
     volume = {21},
     number = {3},
     year = {2015},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TIMM_2015_21_3_a17/}
}
TY  - JOUR
AU  - A. I. Kibzun
AU  - V. R. Sobol'
TI  - A two-step problem of hedging a European call option under a random duration of transactions
JO  - Trudy Instituta matematiki i mehaniki
PY  - 2015
SP  - 164
EP  - 174
VL  - 21
IS  - 3
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/TIMM_2015_21_3_a17/
LA  - ru
ID  - TIMM_2015_21_3_a17
ER  - 
%0 Journal Article
%A A. I. Kibzun
%A V. R. Sobol'
%T A two-step problem of hedging a European call option under a random duration of transactions
%J Trudy Instituta matematiki i mehaniki
%D 2015
%P 164-174
%V 21
%N 3
%I mathdoc
%U http://geodesic.mathdoc.fr/item/TIMM_2015_21_3_a17/
%G ru
%F TIMM_2015_21_3_a17
A. I. Kibzun; V. R. Sobol'. A two-step problem of hedging a European call option under a random duration of transactions. Trudy Instituta matematiki i mehaniki, Trudy Instituta Matematiki i Mekhaniki UrO RAN, Tome 21 (2015) no. 3, pp. 164-174. http://geodesic.mathdoc.fr/item/TIMM_2015_21_3_a17/