Quantile hedging for basket derivatives

• Autorzy: Michał Barski
• Języki publikacji: EN

Abstrakty

EN

The problem of quantile hedging for basket derivatives in the Black-Scholes model with correlation is considered. Explicit formulas for the probability maximizing function and the cost reduction function are derived. Applicability of the results to the widely traded derivatives like digital, quantos, outperformance and spread options is shown.

Kategorie tematyczne

• 91B24: Price theory and market structure
• 91B70: Stochastic models
• 91B30: Risk theory, insurance

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2012
• Tom: 39
• Numer: 1
• Strony: 103-127

Daty

wydano

2012

Twórcy

autor

Michał Barski

• Faculty of Mathematics and Computer Science, University of Leipzig, Leipzig, Germany
• Faculty of Mathematics, Cardinal Stefan Wyszyński University, 01-938 Warszawa, Poland

Identyfikatory

DOI

10.4064/am39-1-7