This article applies the methods of stochastic dynamic programming to a risk management problem, where an agent hedges her derivative position by submitting limit orders. Therefore, this model is the first, in the literature on optimal trading with limit orders, to handle a problem of hedging options or other derivatives.
Agliardi, R. (2016). Optimal hedging through limit orders. STOCHASTIC MODELS, 32(4), 593-605 [10.1080/15326349.2016.1188014].
Optimal hedging through limit orders
AGLIARDI, ROSSELLA
2016
Abstract
This article applies the methods of stochastic dynamic programming to a risk management problem, where an agent hedges her derivative position by submitting limit orders. Therefore, this model is the first, in the literature on optimal trading with limit orders, to handle a problem of hedging options or other derivatives.File in questo prodotto:
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