Arbeitspapier
How to Avoid a Hedging Bias
In this paper, the effects of so-called model misspecification and the effects of dropping the assumption that continuous rebalancing is possible are examined. Strategies which are robust if applied continuously fail to be robust if applied in discrete time. Therefore, the hedging bias which originates from the effects of time-discretising strategies is analysed. It turns out that a systematic hedging bias can only be avoided if a discrete-time hedging model is used. It is shown how the robustness property for convex payoffs is recovered while at the same time the hedging bias is avoided.
- Sprache
-
Englisch
- Erschienen in
-
Series: Bonn Econ Discussion Papers ; No. 34/2002
- Klassifikation
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Contingent Pricing; Futures Pricing; option pricing
- Thema
-
Model misspecification
hedging strategies
convex payoffs
superhedging
discrete-time trading
Black-Scholes-Modell
Hedging
Bias
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Dudenhausen, Antje
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Bonn, Bonn Graduate School of Economics (BGSE)
- (wo)
-
Bonn
- (wann)
-
2002
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Dudenhausen, Antje
- University of Bonn, Bonn Graduate School of Economics (BGSE)
Entstanden
- 2002
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