Quantile hedging

Arbeitspapier

In a complete financial market every contingent claim can be hedged perfectly. In an incomplete market it is possible to stay on the safe side by superhedging. But such strategies may require a large amount of initial capital. Here we study the question what an investor can do who is unwilling to spend that much, and who is ready to use a hedging strategy which succeeds with high probability.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: SFB 373 Discussion Paper ; No. 1998,13

Classification and Topics

• Classification: Wirtschaft ; General Financial Markets: General (includes Measurement and Data) ; Asset Pricing; Trading Volume; Bond Interest Rates ; Contingent Pricing; Futures Pricing; option pricing ; Criteria for Decision-Making under Risk and Uncertainty
• Subject: Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at risk

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Föllmer, Hans ; Leukert, Peter
• Event: Veröffentlichung
• (who): Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
• (where): Berlin
• (when): 1998

Further information

• Handle: http://hdl.handle.net/10419/61297
• URN: urn:nbn:de:kobv:11-10056479
• Last update: 10.03.2025, 11:42 AM CET