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 …

hedging strategies of a duopoly. Firms are exposed to demand uncertainty that leads to price risk and can hedge their risk …, we explore the Cournot duopoly with a simultaneous hedging opportunity; second, we analyze the case with a sequential …

We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is … very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small … transaction costs is used to obtain a tractable model. A general expansion theory is developed using the dynamic programming …

A nonlinear Black-Scholes equation which models transaction costs arising in the hedging of portfolios is discretized …

We solve the problem of optimal risk management for an investor holding an illiquid, alpha generating fund and hedging … and deleveraging, or keeping his current position in the illiquid instrument and hedging away some of the risk while …