Trudy Instituta Matematiki i Mekhaniki UrO RAN
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Archive
Impact factor

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS


Trudy Inst. Mat. i Mekh. UrO RAN:
Year:
Volume:
Issue:
Page:
Find




Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register

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)
References:
PDF
HTML
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}
Linking options:
  • https://www.mathnet.ru/eng/timm943
  • 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
    Statistics & downloads:
    Abstract page:467
    Full-text PDF :167
    References:48
    First page:18
     
      Contact us:
    		  Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2024