International Journal of Stochastic Analysis

Research Article

A Time-Series Approach to Non-Self-Financing Hedging in a Discrete-Time Incomplete Market

Table 2

Algorithmic results for options with varying time to expiration.
Resid-maxShortfall-minPosProb-max
BAC+JV10 − 0 . 0 0 8 5 1 . 0 0 0 . 3 0 4 4
BAC+JV15 − 0 . 0 2 6 0 0 . 9 9 0 . 2 8 8 1
BAC+JV20 − 0 . 0 1 8 8 1 . 0 0 0 . 1 8 7 6
BAC+JV25 − 0 . 0 3 3 4 0 . 9 9 0 . 4 4 0 6
BAC+JV30 − 0 . 0 4 2 5 0 . 9 8 0 . 1 3 0 2
GE+CF10 0 . 0 0 0 0 1 . 0 0 0 . 1 6 1 2
GE+CF15 0 . 0 0 0 0 1 . 0 0 0 . 0 6 1 5
GE+CF20 − 0 . 0 0 0 1 1 . 0 0 0 . 1 1 7 9
GE+CF25 − 0 . 0 0 0 6 1 . 0 0 0 . 1 7 7 8
GE+CF30 − 0 . 0 0 0 4 1 . 0 0 𝑛 + 1