Breton, Michèle; Godin, Frédéric - In: Journal of risk and financial management : JRFM 10 (2017) 3, pp. 1-6
Unlike delta-hedging or similar methods based on Greeks, global hedging is an approach that optimizes some terminal criterion that depends on the difference between the value of a derivative security and that of its hedging portfolio at maturity or exercise. Global hedging methods in discrete...