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Trudy Inst. Mat. i Mekh. UrO RAN, 2013, Volume 19, Number 2, Pages 179–192 (Mi timm943)  

This article is cited in 3 scientific papers (total in 3 papers)

Modernization of the stop-loss start-gain strategy for hedging an option position

A. I. Kibzun, V. R. Sobol'

Moscow Aviation Institute (State University of Aerospace Technologies)

Abstract: 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.

Full text: PDF file (207 kB)
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Bibliographic databases:
UDC: 519.213
Received: 01.12.2012

Citation: A. I. Kibzun, V. R. Sobol', “Modernization of the stop-loss start-gain strategy for hedging an option position”, Trudy Inst. Mat. i Mekh. UrO RAN, 19, no. 2, 2013, 179–192

Citation in format AMSBIB
\Bibitem{KibSob13}
\by A.~I.~Kibzun, V.~R.~Sobol'
\paper Modernization of the stop-loss start-gain strategy for hedging an option position
\serial Trudy Inst. Mat. i Mekh. UrO RAN
\yr 2013
\vol 19
\issue 2
\pages 179--192
\mathnet{http://mi.mathnet.ru/timm943}
\mathscinet{http://www.ams.org/mathscinet-getitem?mr=3364104}
\elib{http://elibrary.ru/item.asp?id=19053979}


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    Citing articles on Google Scholar: Russian citations, English citations
    Related articles on Google Scholar: Russian articles, English articles

    This publication is cited in the following articles:
    1. O. V. Zverev, V. M. Khametov, “Kvantilnoe khedzhirovanie optsionov evropeiskogo tipa na nepolnykh rynkakh bez treniya. Ch. 1. Superkhedzhirovanie”, Probl. upravl., 6 (2014), 31–44  mathnet
    2. A. I. Kibzun, V. R. Sobol', “A two-step problem of hedging a European call option under a random duration of transactions”, Proc. Steklov Inst. Math. (Suppl.), 295, suppl. 1 (2016), 78–88  mathnet  crossref  mathscinet  isi  elib
    3. A. I. Kibzun, V. R. Sobol', “The modified sequential hedging strategy: hedger's loss distribution”, Autom. Remote Control, 76:11 (2015), 1931–1944  mathnet  crossref  isi  elib  elib
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