Hedging Contingent Claims in Complete and Incomplete Markets
Author: Christopher William Potter
Publisher:
Published: 2005
Total Pages: 390
ISBN-13:
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Author: Christopher William Potter
Publisher:
Published: 2005
Total Pages: 390
ISBN-13:
DOWNLOAD EBOOKAuthor: Peter og Klaus N.D. Møller og Krarup-Christensen
Publisher:
Published: 1993
Total Pages: 155
ISBN-13:
DOWNLOAD EBOOKAuthor: Noel Valliant dit Massart
Publisher:
Published: 1995
Total Pages:
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DOWNLOAD EBOOKAuthor: Hendrik Sumpf
Publisher:
Published: 2014
Total Pages: 124
ISBN-13:
DOWNLOAD EBOOKAuthor: Emilio Barucci
Publisher:
Published: 1999
Total Pages: 13
ISBN-13:
DOWNLOAD EBOOKAuthor: Constantinos Alexandropoulos
Publisher:
Published: 2005
Total Pages:
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DOWNLOAD EBOOKAuthor: Zhenke Guan
Publisher:
Published: 2004
Total Pages: 83
ISBN-13:
DOWNLOAD EBOOKAuthor: Frederic Abergel
Publisher:
Published: 2013
Total Pages: 6
ISBN-13:
DOWNLOAD EBOOKIn this note, I study further the approach introduced in for the hedging of derivatives in incomplete markets via local risk minimization. A structure result is provided, which essentially shows the equivalence between non-quadratic risk minimization under the historical probability and quadratic local risk minimization under an equivalent, implicitly defined probability.
Author: Suleyman Basak
Publisher:
Published: 2011
Total Pages: 0
ISBN-13:
DOWNLOAD EBOOKDespite much work on hedging in incomplete markets, the literature still lacks tractable dynamic hedges in plausible environments. In this article, we provide a simple solution to this problem in a general incomplete-market economy in which a hedger, guided by the traditional minimum-variance criterion, aims at reducing the risk of a non-tradable asset or a contingent claim. We derive fully analytical optimal hedges and demonstrate that they can easily be computed in various stochastic environments. Our dynamic hedges preserve the simple structure of complete-market perfect hedges and are in terms of generalized "Greeks," familiar in risk management applications, as well as retaining the intuitive features of their static counterparts. We obtain our time-consistent hedges by dynamic programming, while the extant literature characterizes either static or myopic hedges, or dynamic ones that minimize the variance criterion at an initial date and from which the hedger may deviate unless she can pre-commit to follow them. We apply our results to the discrete hedging problem of derivatives when trading occurs infrequently. We determine the corresponding optimal hedge and replicating portfolio value, and show that they have structure similar to their complete-market counterparts and reduce to generalized Black-Scholes expressions when specialized to the Black-Scholes setting. We also generalize our results to richer settings to study dynamic hedging with Poisson jumps, stochastic correlation and portfolio management with benchmarking.
Author: D. O. Kramkov
Publisher:
Published: 1994
Total Pages: 28
ISBN-13:
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