首页 | 本学科首页   官方微博 | 高级检索  
     检索      


Optimal hedging through limit orders
Authors:Rossella Agliardi
Institution:Department of Mathematics, University of Bologna, Bologna, Italy
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. A hedging strategy is developed where both the size and the limit price of each order is optimally set.
Keywords:Hedging  limit orders  martingales  stochastic dynamic programming
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号