1 citations · 1 across the 5 of their papers we have counts for
Showing q-fin.MFShow all
3 papers · 1 filter
q-fin.MF2024
Optimal positioning in derivative securities in incomplete markets
Tim Leung, Matthew Lorig, Yoshihiro Shirai
This paper analyzes a problem of optimal static hedging using derivatives in incomplete markets. The investor is assumed to have a risk exposure to two underlying assets. The hedgi…
q-fin.MF2023★ 1 cited
Acceptable Bilateral Gamma Parameters
Yoshihiro Shirai
The purpose of this paper is to utilize statistical methodologies to infer from market prices of assets and their derivatives the magnitude of the set of a measure M that defines a…
q-fin.MF2015
Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties
Tim Leung, Yoshihiro Shirai
This paper studies the risk-adjusted optimal timing to liquidate an option at the prevailing market price. In addition to maximizing the expected discounted return from option sale…