Blanc-Blocquel, AugustoOrtiz Gracia, LuisOviedo, Rodolfo J.2023-05-232023-05-232023-02-101387-5841https://hdl.handle.net/2445/198331Hedging 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 (...)18 p.application/pdfeng(c) Springer Verlag, 2023http://creativecommons.org/licenses/by/3.0/es/Opcions (Finances)Sistemes de control digitalProgramació dinàmicaOptions (Finance)Digital control systemsDynamic programminginfo:eu-repo/semantics/article7340442023-05-23info:eu-repo/semantics/openAccess