Pricing and Hedging Index Options under Mean-Variance Criteria in Incomplete Markets.
Pornnapat YamphramPhiraphat SutthimatUdomsak RakwongwanPublished in: Comput. (2023)
Keyphrases
- financial markets
- option pricing
- investment strategies
- portfolio selection
- stock price
- black scholes model
- black scholes
- stock market
- stock exchange
- convertible bonds
- portfolio optimization
- decision analysis
- non stationary
- multi criteria
- utility function
- selection criteria
- risk management
- double exponential
- index structure
- evaluation criteria
- historical data
- payoff functions
- financial data
- news articles
- multi objective
- electronic commerce
- garch model
- missing values
- real option
- trading strategies
- noisy data
- trading systems
- incomplete data
- multiple criteria