Option valuation and hedging using an asymmetric risk function : asymptotic optimality through fully nonlinear partial differential equations
Year of publication: |
2020
|
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Authors: | Gobet, Emmanuel ; Pimentel, Isaque ; Warin, Xavier |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 24.2020, 3, p. 633-675
|
Subject: | Hedging | Asymmetric risk | Fully nonlinear parabolic PDE | Regression Monte Carlo | Optionspreistheorie | Option pricing theory | Nichtlineare Regression | Nonlinear regression | Monte-Carlo-Simulation | Monte Carlo simulation | Risiko | Risk | Analysis | Mathematical analysis | Regressionsanalyse | Regression analysis | Risikomanagement | Risk management |
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