Journal article | Zeitschriftenartikel
Risk minimization in stochastic volatility models: model risk and empirical performance
In this paper the performance of locally risk-minimizing delta hedge strategies for European options in stochastic volatility models is studied from an experimental as well as from an empirical perspective. These hedge strategies are derived for a large class of diffusion-type stochastic volatility models, and they are as easy to implement as usual delta hedges. Our simulation results on model risk show that these risk-minimizing hedges are robust with respect to uncertainty and misconceptions about the underlying data generating process. The empirical study, which includes the U.S. sub-prime crisis period, documents that in equity markets risk-minimizing delta hedges consistently outperform usual delta hedges by approximately halving the standard deviation of the profit-and-loss ratio.
- Umfang
-
Seite(n): 693-704
- Sprache
-
Englisch
- Anmerkungen
-
Status: Postprint; begutachtet (peer reviewed)
- Erschienen in
-
Quantitative Finance, 9(6)
- Thema
-
Wirtschaft
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Volkswirtschaftslehre
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Poulsen, Rolf
Schenk-Hoppé, Klaus Reiner
Ewald, Christian-Oliver
- Ereignis
-
Veröffentlichung
- (wo)
-
Vereinigtes Königreich
- (wann)
-
2009
- DOI
- URN
-
urn:nbn:de:0168-ssoar-221553
- Rechteinformation
-
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Letzte Aktualisierung
-
21.06.2024, 16:27 MESZ
Datenpartner
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Zeitschriftenartikel
Beteiligte
- Poulsen, Rolf
- Schenk-Hoppé, Klaus Reiner
- Ewald, Christian-Oliver
Entstanden
- 2009
Ähnliche Objekte (12)
Risk minimization in stochastic volatility models: model risk and empirical performance
Default Risk in Stochastic Volatility Models
Estimating Growth at Risk with Skewed Stochastic Volatility Models
Estimating growth at risk with skewed stochastic volatility models
Estimating growth at risk with skewed stochastic volatility models
Estimating growth at risk with skewed stochastic volatility models
Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models
Stochastic models in financial risk management
Pricing, risk and volatility in subordinated market models
Multivariate Wishart Stochastic Volatility Models
Risk minimization for insurance products via F-doubly stochastic Markov chains
Dual stochastic dominance and related mean-risk models
Risk minimization in stochastic volatility models: model risk and empirical performance
Default Risk in Stochastic Volatility Models
Estimating Growth at Risk with Skewed Stochastic Volatility Models
Estimating growth at risk with skewed stochastic volatility models
Estimating growth at risk with skewed stochastic volatility models
Estimating growth at risk with skewed stochastic volatility models
Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models
Stochastic models in financial risk management
Pricing, risk and volatility in subordinated market models
Multivariate Wishart Stochastic Volatility Models
Risk minimization for insurance products via F-doubly stochastic Markov chains
Dual stochastic dominance and related mean-risk models
Risk minimization in stochastic volatility models: model risk and empirical performance
Default Risk in Stochastic Volatility Models
Estimating Growth at Risk with Skewed Stochastic Volatility Models
Estimating growth at risk with skewed stochastic volatility models
Estimating growth at risk with skewed stochastic volatility models
Estimating growth at risk with skewed stochastic volatility models
Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models
Stochastic models in financial risk management
Pricing, risk and volatility in subordinated market models
Multivariate Wishart Stochastic Volatility Models
Risk minimization for insurance products via F-doubly stochastic Markov chains