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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: SFB 373 Discussion Paper ; No. 1998,13

Klassifikation und Themen

• Klassifikation: 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
• Thema: Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at risk

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Föllmer, Hans ; Leukert, Peter
• Ereignis: Veröffentlichung
• (wer): Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
• (wo): Berlin
• (wann): 1998

Weitere Informationen

• Handle: http://hdl.handle.net/10419/61297
• URN: urn:nbn:de:kobv:11-10056479
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ