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http://hdl.handle.net/2445/198331
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DC Field | Value | Language |
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dc.contributor.author | Blanc-Blocquel, Augusto | - |
dc.contributor.author | Ortiz Gracia, Luis | - |
dc.contributor.author | Oviedo, Rodolfo J. | - |
dc.date.accessioned | 2023-05-23T10:20:03Z | - |
dc.date.available | 2023-05-23T10:20:03Z | - |
dc.date.issued | 2023-02-10 | - |
dc.identifier.issn | 1387-5841 | - |
dc.identifier.uri | http://hdl.handle.net/2445/198331 | - |
dc.description.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 (...) | - |
dc.format.extent | 18 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | - |
dc.publisher | Springer Verlag | - |
dc.relation.isformatof | Reproducció del document publicat a: https://doi.org/10.1007/s11009-023-10013-6 | - |
dc.relation.ispartof | Methodology and Computing in Applied Probability , 2023, vol. 25, num. 18, p. 1-18 | - |
dc.relation.uri | https://doi.org/10.1007/s11009-023-10013-6 | - |
dc.rights | (c) Springer Verlag, 2023 | - |
dc.rights.uri | http://creativecommons.org/licenses/by/3.0/es/ | * |
dc.source | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) | - |
dc.subject.classification | Opcions (Finances) | - |
dc.subject.classification | Sistemes de control digital | - |
dc.subject.classification | Programació dinàmica | - |
dc.subject.other | Options (Finance) | - |
dc.subject.other | Digital control systems | - |
dc.subject.other | Dynamic programming | - |
dc.title | Hedging at-the-money digital options near maturity | - |
dc.type | info:eu-repo/semantics/article | - |
dc.type | info:eu-repo/semantics/acceptedVersion | - |
dc.identifier.idgrec | 734044 | - |
dc.date.updated | 2023-05-23T10:20:03Z | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
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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