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

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

[学科分类] 应用数学