IDEAS home Printed from https://ideas.repec.org/a/hin/jnijsa/275217.html
   My bibliography  Save this article

A Time-Series Approach to Non-Self-Financing Hedging in a Discrete-Time Incomplete Market

Author

Listed:
  • N. Josephy
  • L. Kimball
  • V. Steblovskaya

Abstract

We present an algorithm producing a dynamic non-self-financing hedging strategy in an incomplete market corresponding to investor-relevant risk criterion. The optimization is a two-stage process that first determines market calibrated model parameters that correspond to the market price of the option being hedged. In the second stage, an optimal set of model parameters is chosen from the market calibrated set. This choice is based on stock price simulations using a time-series model for stock price jump evolution. Results are presented for options traded on the New York Stock Exchange.

Suggested Citation

  • N. Josephy & L. Kimball & V. Steblovskaya, 2008. "A Time-Series Approach to Non-Self-Financing Hedging in a Discrete-Time Incomplete Market," International Journal of Stochastic Analysis, Hindawi, vol. 2008, pages 1-20, September.
    • Handle: RePEc:hin:jnijsa:275217
    DOI: 10.1155/2008/275217
    as

    Download full text from publisher

    File URL: http://downloads.hindawi.com/journals/IJSA/2008/275217.pdf
    Download Restriction: no
    File URL: http://downloads.hindawi.com/journals/IJSA/2008/275217.xml
    Download Restriction: no
    File URL: https://libkey.io/10.1155/2008/275217?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hin:jnijsa:275217. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mohamed Abdelhakeem (email available below). General contact details of provider: https://www.hindawi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.