Search Results - subject:"Option hedging"

Discovering decision rules in the commodity options market for hedging against oil price fluctuations

Lamasz, Bartosz; Puka, Radosław; Skalna, Iwona - In: International Journal of Energy Economics and Policy : IJEEP 15 (2025) 5, pp. 674-684

Persistent link: https://www.econbiz.de/10015476875

Robust risk-aware option hedging

Wu, David; Jaimungal, Sebastian - In: Applied mathematical finance 30 (2023) 3, pp. 153-174

Persistent link: https://www.econbiz.de/10015051231

Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method

Elliott, Robert J.; Siu, Tak Kuen - In: The journal of futures markets 43 (2023) 7, pp. 925-950

Persistent link: https://www.econbiz.de/10014293270

Black-Scholes meet imitation learning : evidence from deep hedging in China

Jiang, Fuwei; Kang, Jie; Tian, Ruzheng; Xu, Qingdong - In: The journal of futures markets 45 (2025) 8, pp. 1071-1087

Persistent link: https://www.econbiz.de/10015464877

Simultaneous upper and lower bounds of American-style option prices with hedging via neural networks

Guo, Ivan; Langrené, Nicolas; Wu, Jiahao - In: Quantitative finance 25 (2025) 4, pp. 509-525

Persistent link: https://www.econbiz.de/10015534113

On the directional destabilizing feedback effects of option hedging

Sornette, Didier; Ulmann, Florian; Wehrli, Alexander - 2022

We investigate the feedback effect of option hedging activity on the stability of the price of the underlying. While … (depending on the option parameters and its delta) when option hedging is present, in line with the predictions of our model … option hedging indeed can be expected to impact and even destabilize prices. Using the example of the GameStop stock in early …

Persistent link: https://www.econbiz.de/10013192086

A discrete-time hedging framework with multiple factors and fat tails : on what matters

Augustyniak, Maciej; Badescu, Alexandru; Bégin, … - In: Journal of econometrics 232 (2023) 2, pp. 416-444

Persistent link: https://www.econbiz.de/10014339997

Currency carry trade : the decline in performance after the 2008 Global Financial Crisis

Fan, Zhenzhen; Paseka, Alexander; Qi, Zhen; Zhang, Qi - In: Journal of international financial markets, … 76 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10013412772

Option hedging using LSTM-RNN : an empirical analysis

Zhang, Junhuan; Huang, Wenjun - In: Quantitative finance 21 (2021) 10, pp. 1753-1772

Persistent link: https://www.econbiz.de/10012653710

Pricing exotic option under jump-diffusion models by the quadrature method

Zhang, Jin-Yu; Wu, Wen-Bo; Li, Yong; Lou, Zhu-Sheng - In: Computational economics 58 (2021) 3, pp. 867-884

Persistent link: https://www.econbiz.de/10012651045