NDLI: Dynamic Programming and Hedging Strategies in Discrete Time

Content Provider	Semantic Scholar
Author	Huang, Shih-Feng Guo, Meihui
Copyright Year	2012
Abstract	In this chapter, we introduce four hedging strategies for path-independent contingent claims in discrete time – superhedging, local expected shortfall-hedging, local quadratic risk-minimizing and local quadratic risk-adjusted-minimizing strategies. The corresponding dynamic programming algorithms of each trading strategy are introduced for making adjustment at each rebalancing time. The hedging performances of these discrete time trading strategies are discussed in the trinomial, Black-Scholes and GARCH models. Moreover, the hedging strategies of path-dependent contingent claims are introduced in the last section, and the hedges of barrier options are illustrated as examples.
Starting Page	605
Ending Page	631
Page Count	27
File Format	PDF HTM / HTML
DOI	10.1007/978-3-642-17254-0_22
Alternate Webpage(s)	http://www.rmi.nus.edu.sg/csf/webpages/Authors/seconddraft/Huang_Guo.pdf
Alternate Webpage(s)	https://doi.org/10.1007/978-3-642-17254-0_22
Language	English
Access Restriction	Open
Content Type	Text
Resource Type	Article

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