Arbeitspapier

Quantile hedging

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.

Language
Englisch

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

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

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

Handle
URN
urn:nbn:de:kobv:11-10056479
Last update
10.03.2025, 11:42 AM CET

Data provider

This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.

Object type

  • Arbeitspapier

Associated

  • Föllmer, Hans
  • Leukert, Peter
  • Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Time of origin

  • 1998

Other Objects (12)