Integral representations of risk functions for basket derivatives

• Autorzy: Michał Barski
• Języki publikacji: EN

Abstrakty

EN

The risk minimizing problem $E[l((H-X_T^{x,π})⁺)] \overset{π}{→} min$ in the multidimensional Black-Scholes framework is studied. Specific formulas for the minimal risk function and the cost reduction function for basket derivatives are shown. Explicit integral representations for the risk functions for l(x) = x and $l(x) = x^p$, with p > 1 for digital, quantos, outperformance and spread options are derived.

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: 4
• Strony: 489-514

Daty

wydano

2012

Twórcy

autor

Michał Barski

• Faculty of Mathematics and Computer Science, Leipzig University, D-04009 Leipzig, Germany
• Faculty of Mathematics, Cardinal Stefan Wyszyński University, 01-938 Warszawa, Poland

Identyfikatory

DOI

10.4064/am39-4-6