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Trudy Instituta Matematiki i Mekhaniki UrO RAN, 2013, Volume 19, Number 2, Pages 179–192
(Mi timm943)
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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.
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
Linking options:
https://www.mathnet.ru/eng/timm943 https://www.mathnet.ru/eng/timm/v19/i2/p179
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Statistics & downloads: |
Abstract page: | 470 | Full-text PDF : | 167 | References: | 49 | First page: | 18 |
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