Bayesian Inference for Optimal Risk Hedging Strategy Using Put Options With Stock Liquidity

Bayesian Inference for Optimal Risk Hedging Strategy Using Put Options With Stock Liquidity

This paper considers the problem of hedging the risk exposure to imperfectly liquid stock by investing in put options. In an incomplete market, we firstly obtain a closed-form pricing formula of the European put option with liquidity-adjustment by measure transformation. Then, an optimal hedging str...

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Bibliographic Details
Main Authors: Rui Gao, Yaqiong Li, Yanfei Bai, Shanlan Hong
Format: Article
Language:English
Published: IEEE 2019-01-01
Series:IEEE Access
Subjects:
Stock liquidity
incomplete market
risk hedging
option pricing
minimizing value-at-risk
Bayesian statistical inference
Online Access:https://ieeexplore.ieee.org/document/8862845/

Internet

https://ieeexplore.ieee.org/document/8862845/

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