A Closed-Form Solution for the Global Quadratic Hedging of Options Under Geometric Gaussian Random Walks

A closed-form solution is obtained for the discrete-time global quadratic hedging problem of Schweizer (1995) applied to vanilla European options under the geometric Gaussian random walk model for the underlying asset. The computation of coefficients embedded in the closed-form expression can be computed either directly or through a recursive algorithm

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Year of publication:	2019
Authors:	Godin, Frédéric
Publisher:	[2019]: [S.l.] : SSRN
Subject:	Hedging \| Optionspreistheorie \| Option pricing theory \| Stochastischer Prozess \| Stochastic process \| Random Walk \| Random walk
Description of contents:	Abstract [papers.ssrn.com] ; Abstract [doi.org]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: https://jod.pm-research.com/content/26/3/97 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 15, 2018 erstellt Volltext nicht verfügbar
Other identifiers:	10.2139/ssrn.3214309 [DOI]
Classification:	G32 - Financing Policy; Capital and Ownership Structure ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012898771