Narrow search
Showing 1 - 4 of 4
Cover Image
Optimal hedging when the underlying asset follows a regime-switching Markov process
François, Pascal; Gauthier, Geneviève; Godin, Frédéric - In: European journal of operational research : EJOR 237 (2014) 1, pp. 312-322
Persistent link: https://www.econbiz.de/10010378599
Cover Image
Venturing into uncharted territory : an extensible implied volatility surface model
François, Pascal; Galarneau-Vincent, Rémi; Gauthier, … - In: The journal of futures markets 42 (2022) 10, pp. 1912-1940
Persistent link: https://www.econbiz.de/10013465829
Cover Image
Optimal hedging when the underlying asset follows a regime-switching Markov process
François, Pascal; Gauthier, Geneviève; Godin, Frédéric - In: European Journal of Operational Research 237 (2014) 1, pp. 312-322
We develop a flexible discrete-time hedging methodology that minimizes the expected value of any desired penalty function of the hedging error within a general regime-switching framework. A numerical algorithm based on backward recursion allows for the sequential construction of an optimal...
Persistent link: https://www.econbiz.de/10011097768
Cover Image
Optimal Hedging when the Underlying Asset Follows a Regime-switching Markov Process
François, Pascal; Gauthier, Geneviève; Godin, Frédéric - Centre Interuniversitaire sur le Risque, les Politiques … - 2012
We develop a flexible discrete-time hedging methodology that minimizes the expected value of any desired penalty function of the hedging error within a general regime-switching framework. A numerical algorithm based on backward recursion allows for the sequential construction of an optimal...
Persistent link: https://www.econbiz.de/10010568418