Shashi Jainv - Exploring Alternative Hedging Strategies for Options: A Comparative Analysis of Static and Dynamic Approaches
| Dates: | 25 September 2024 |
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| Times: | 15:00 - 16:00 |
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| What is it: | Seminar |
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| Organiser: | Department of Mathematics |
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Shashi Jain (Indian Institute of Science, Bangalore) will speak at the Probability seminar.
Title: Exploring Alternative Hedging Strategies for Options: A Comparative Analysis of Static and Dynamic Approaches
Abstract:
The prevalent method of managing market risk for options, dynamic hedging, encounters limitations during sharp market movements or periods of market illiquidity. This presentation explores alternative approaches: static and semi-static hedging strategies for options featuring early exercise. The discussion commences by examining Carr and Wu's semi-static hedging framework, subsequently delving into an extension that offers increased flexibility in selecting short maturity options for hedging purposes. Furthermore, an investigation into a neural network-based approach for static hedging of early exercise options is presented. Finally, empirical performance comparison between a LASSO-based static hedge and the conventional dynamic hedging strategy is discussed, shedding light on their respective efficiencies in risk management.
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