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http://hdl.handle.net/2445/198331
Title: | Hedging at-the-money digital options near maturity |
Author: | Blanc-Blocquel, Augusto Ortiz Gracia, Luis Oviedo, Rodolfo J. |
Keywords: | Opcions (Finances) Sistemes de control digital Programació dinàmica Options (Finance) Digital control systems Dynamic programming |
Issue Date: | 10-Feb-2023 |
Publisher: | Springer Verlag |
Abstract: | Hedging at-the-money digital options near maturity, remains a challenge in quantitative finance. In the present work, we carry out a hedging strategy by means of a bull spread. We study the probability of super- and sub-hedge the digital option and minimize the probability of a sub-hedge considering the cost of hedging and illiquidity issues. We perform a wide variety of numerical experiments under different models for the underlying asset dynamics. A calibration to market data is provided and used to get the optimal composition of the bull spread satisfying the cost of hedging restriction (...) |
Note: | Reproducció del document publicat a: https://doi.org/10.1007/s11009-023-10013-6 |
It is part of: | Methodology and Computing in Applied Probability , 2023, vol. 25, num. 18, p. 1-18 |
URI: | http://hdl.handle.net/2445/198331 |
Related resource: | https://doi.org/10.1007/s11009-023-10013-6 |
ISSN: | 1387-5841 |
Appears in Collections: | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) |
Files in This Item:
File | Description | Size | Format | |
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734044.pdf | 2.1 MB | Adobe PDF | View/Open |
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