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.
2016
Agliardi, R. (2016). Optimal hedging through limit orders. STOCHASTIC MODELS, 32(4), 593-605 [10.1080/15326349.2016.1188014].
Agliardi, Rossella
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/550242
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