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
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Englisch
- Bibliographic citation
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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
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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
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