Optimal positioning in derivative securities in incomplete markets

By Tim Leung, Matthew Lorig, Yoshihiro Shirai

Published 2024-03-04

Everscope rating

1522.8

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Utility maximization. Problem types: Optimization, Static Hedging, Risk Management.

arXiv:2403.00139 · Paper rankings

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