A Stochastic Programming Model for Currency Option Hedging

Keywords

Hedge, Computer science, Futures contract, Stochastic programming, Portfolio

References

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Cited by

• Application of stochastic programming to management of cash flows with FX exposureKonstantin Volosov — 2006
• Multistage Stochastic Decomposition and its ApplicationsZhihong Zhou — 2012
• An Improved Estimation to Make Markowitz's Portfolio Optimization Theory Users Friendly and Practically UsefulPui-lam Leung, Henry Kin Shing Ng, Wing‐Keung Wong — 2009
• Pricing European Options by Numerical Replication: Quadratic Programming with ConstraintsValeriy Ryabchenko, Sergey Sarykalin, Stan Uryasev — 2004
• Purchasing decisions under stochastic prices: Approximate solutions for order time, order quantity and supplier selectionXiangling Hu, Charles L. Munson, S. Fotopoulos — 2012
• Hedging International Foreign Exchange Risks via Option Based Portfolio InsuranceLibo Yin, Liyan Han — 2015
• Options strategies with the risk adjustmentGao Pei-wang — 2009
• Treasury Management Model with Foreign Exchange ExposureKonstantin Volosov, Gautam Mitra, Fabio Spagnolo — 2005
• Asset price modeling: decision aids for scheduling and hedging (DASH) in deregulated electricity markets: a stochastic programming approach to power portfolio optimizationSuvrajeet Sen, Lihua Yu, Talat S. Genc — 2002
• Optimization of multi-scale decision-oriented dynamic systems and distributed computingLihua Yu, Suvrajeet Sen — 2004
• Integrated Strategic Planning of Global Production Networks and Financial Hedging under Uncertain Demands and Exchange RatesAchim Koberstein, Elmar Lukas, Marc Naumann — 2013
• Options strategies for international portfolios with overall risk management via multi-stage stochastic programmingLibo Yin, Liyan Han — 2013
• Multistage Stochastic Decomposition: A Bridge between Stochastic Programming and Approximate Dynamic ProgrammingSuvrajeet Sen, Zhihong Zhou — 2014
• The optimal fuzzy portfolio strategy with option hedgingXing Yu, Wengfeng Huang, Yuling Tan — 2012
• Modeling and evaluation of the option book hedging problem using stochastic programmingMathias Barkhagen, Jörgen Blomvall — 2016
• Hedging an option portfolio with minimum transaction lots: A fuzzy goal programming problemChang-Chun Lin, Yi-Ting Liu, An‐Pin Chen — 2016
• A two-stage stochastic mixed-integer programming approach to the competition of biofuel and food productionHalil I. Cobuloglu, İ. Esra Büyüktahtakın — 2017
• Hedging strategies for multi-period portfolio optimizationHamed Davari‐Ardakani, Majid Aminnayeri, Abbas Seifi — 2015
• Integrated dynamic models for hedging international portfolio risksNikolas Topaloglou, Hercules Vladimirou, Stavros A. Zenios — 2020
• Stochastic Programming Models for Optimal Risk Control with Financial DerivativesVivek Varun — 2018

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