Add to ORKGThe aim of this paper is to develop a hedging methodology for making a portfolio of options delta, vega and gamma neutral by taking positions in other available options, and simultaneously minimizing the net premium to be paid for the hedging. A quadratic programming solution for the problem is formulated, and then it is approximated to a linear programming solution. A prototype for the linear programming solution has been developed in MS Excel using VBA.
Praca omawia zagadnienie teorii portfelowej. Rozważane jest zastosowanie programowania kwadratowego ...
The classical global hedging approach presented in the literature (see Schweizer [1995]) involves us...
This paper studies the portfolio selection problem where tradable assets are a bank account, and sta...
The aim of this paper is to develop a hedging methodology for making a portfolio of options delta, v...
The aim of this paper is to develop a hedging methodology for making a portfolio of options delta, v...
This paper proposes a methodology for active hedgingGreeks of an option portfolio integrating churni...
In practice, all option strategies are decided in advance, given the investor’s belief of the stock ...
We derive a sequential algorithm for simultaneous calibration and quadratic hedging of options. It c...
The presence of options in a portfolio fundamentally alters the portfolio’s risk and return profiles...
Portfolio selection and optimization problems in the financial world have gained a lot of attention....
This paper presents a pivoting-based method for solving convex quadratic programming and then shows ...
In practice, all option strategies are decided in advance, given the investor’s belief of the stock ...
Abstract We present an algorithm for hedging option portfolios and customtailored derivative securi...
Mathematical programming can be classified into linear and non linear programming. This study involv...
The paper investigates quadratic hedging in a general semimartingale market that does not necessaril...
Praca omawia zagadnienie teorii portfelowej. Rozważane jest zastosowanie programowania kwadratowego ...
The classical global hedging approach presented in the literature (see Schweizer [1995]) involves us...
This paper studies the portfolio selection problem where tradable assets are a bank account, and sta...
The aim of this paper is to develop a hedging methodology for making a portfolio of options delta, v...
The aim of this paper is to develop a hedging methodology for making a portfolio of options delta, v...
This paper proposes a methodology for active hedgingGreeks of an option portfolio integrating churni...
In practice, all option strategies are decided in advance, given the investor’s belief of the stock ...
We derive a sequential algorithm for simultaneous calibration and quadratic hedging of options. It c...
The presence of options in a portfolio fundamentally alters the portfolio’s risk and return profiles...
Portfolio selection and optimization problems in the financial world have gained a lot of attention....
This paper presents a pivoting-based method for solving convex quadratic programming and then shows ...
In practice, all option strategies are decided in advance, given the investor’s belief of the stock ...
Abstract We present an algorithm for hedging option portfolios and customtailored derivative securi...
Mathematical programming can be classified into linear and non linear programming. This study involv...
The paper investigates quadratic hedging in a general semimartingale market that does not necessaril...
Praca omawia zagadnienie teorii portfelowej. Rozważane jest zastosowanie programowania kwadratowego ...
The classical global hedging approach presented in the literature (see Schweizer [1995]) involves us...
This paper studies the portfolio selection problem where tradable assets are a bank account, and sta...