Dynamic options hedging model under mark-to-market risk
Dongwei Shi, Yanyin Li, Xing Yu
| Year of publication: |
2024
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|---|---|
| Authors: | Shi, Dongwei ; Li, Yanyin ; Yu, Xing |
| Published in: |
International journal of information technology and management : IJITM. - Milton Keynes : Inderscience Enterprises, ISSN 1461-4111, ZDB-ID 2109647-8. - Vol. 23.2024, 2, p. 137-155
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| Subject: | dual interior point algorithm | margin calls | mark-to-market risk | options hedging | Hedging | Risiko | Risk | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Derivat | Derivative | Mathematische Optimierung | Mathematical programming |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1504/IJITM.2024.137769 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015064850