Tractable Hedging: An Implementation of Robust Hedging Strategies

Arbeitspapier

This paper provides a theoretical and numerical analysis of robust hedging strategies in diffusion?type models including stochastic volatility models. A robust hedging strategy avoids any losses as long as the realised volatility stays within a given interval. We focus on the effects of restricting the set of admissible strategies to tractable strategies which are defined as the sum over Gaussian strategies. Although a trivial Gaussian hedge is either not robust or prohibitively expensive, this is not the case for the cheapest tractable robust hedge which consists of two Gaussian hedges for one long and one short position in convex claims which have to be chosen optimally.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Working Paper Series: Finance & Accounting ; No. 135

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Asset Pricing; Trading Volume; Bond Interest Rates ; Contingent Pricing; Futures Pricing; option pricing
• Thema: Stochastic volatility ; robust hedging ; tractable hedging ; model misspecification ; incomplete markets ; Hedging ; Strategie ; Volatilität ; Stochastischer Prozess ; Theorie

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Branger, Nicole ; Mahayni, Antje
• Ereignis: Veröffentlichung
• (wer): Johann Wolfgang Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften
• (wo): Frankfurt a. M.
• (wann): 2004

Weitere Informationen

• Handle: http://hdl.handle.net/10419/23400
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ