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Trudy Instituta Matematiki i Mekhaniki UrO RAN, 2013, Volume 19, Number 2, Pages 179–192 (Mi timm943)  
This article is cited in 3 scientific papers (total in 3 papers)

Modernization of the stop-loss start-gain strategy for hedging an option position

A. I. Kibzun, V. R. Sobol'

Moscow Aviation Institute (State University of Aerospace Technologies)
Full-text PDF (207 kB) Citations (3)
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Abstract: Issues of hedging option positions by an American call-option seller are considered. The stop-loss start-gain strategy is modified by introducing a hedging “insensitivity” band. Average losses of a hedger using this method of hedging are calculated. An optimal width of the “insensitivity” band for minimizing the hedger's average losses is chosen.
Keywords: option hedging, stop-loss start-gain strategy, Wiener process, distribution of the number of crossings of a strip, optimal hedging band.
Received: 01.12.2012
Bibliographic databases:
Document Type: Article
UDC: 519.213
Language: Russian
Citation: A. I. Kibzun, V. R. Sobol', “Modernization of the stop-loss start-gain strategy for hedging an option position”, Trudy Inst. Mat. i Mekh. UrO RAN, 19, no. 2, 2013, 179–192
Citation in format AMSBIB
\Bibitem{KibSob13}
\by A.~I.~Kibzun, V.~R.~Sobol'
\paper Modernization of the stop-loss start-gain strategy for hedging an option position
\serial Trudy Inst. Mat. i Mekh. UrO RAN
\yr 2013
\vol 19
\issue 2
\pages 179--192
\mathnet{http://mi.mathnet.ru/timm943}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=3364104}
\elib{https://elibrary.ru/item.asp?id=19053979}
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  • https://www.mathnet.ru/eng/timm/v19/i2/p179
    • This publication is cited in the following 3 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Trudy Instituta Matematiki i Mekhaniki UrO RAN
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    Abstract page:492
    Full-text PDF :173
    References:59
    First page:18
     
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