Breton, Michèle; Godin, Frédéric - In: Journal of Risk and Financial Management 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 time can be implemented using dynamic programming. They provide …