In this research, we develop a guaranteed option hedge system to protect against capital market risks using a genetic algorithm (GA). We test the hedge effectiveness of our guaranteed option hedge strategy by comparing the performance of our system w...
On the condition that both futures and options exist in the markets for hedging, this paper examines the optimal hedging strategy under price risk and background risk. Compared with the previous research, which has studied options hedging against bas...
This paper presents a method for hedging in markets of two-factor diffusion and jump diffusion models under the restriction of a specified probability of success. In addition, a method for hedging with a given shortfall amount is developed. A maximal...
This paper considers super-replication in a guaranteed deterministic problem setting with discrete time. The aim of hedging a contingent claim is to ensure the coverage of possible payoffs under the option contract for all admissible scenarios. These...
The aim of this paper is to examine some American-style financial instruments that lead to two-sided optimal hitting problems. We pay particular attention to derivatives that are similar to strangle options but have a quadratic payoff function. We co...
This paper presents a full implementation of data-driven modelling of the dynamics of the options on Bitcoin, using high-frequency data from the Deribit exchange. To this end, we provide a synthesis of methods established in prior papers, namely, the...