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Quantile hedging for multiple assets derivatives

The problem of quantile hedging for multiple assets derivatives in the Black-Scholes model with correlation is considered. Explicit formulas for the probability maximizing function and the cost reduction function are derived. Applicability of the results for the widely traded derivatives as digital, quantos, outperformance and spread options is shown.
Year of publication:
2010-10
Authors: Barski, Michal
Institutions: arXiv.org
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Extent:
application/pdf
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Type of publication: Book / Working Paper
Language: English
Source:
Persistent link: https://www.econbiz.de/10008683697
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