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.

MoreLess

Year of publication:	1998
Authors:	Föllmer, Hans ; Leukert, Peter
Publisher:	Berlin : Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Subject:	Hedging \| superhedging \| Neyman Pearson lemma \| stochastic volatility \| value at risk

More details

Series:	SFB 373 Discussion Paper ; 1998,13
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	721138101 [GVK] hdl:10419/61297 [Handle] RePEc:zbw:sfb373:199813 [RePEc]
Classification:	G10 - General Financial Markets. General ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; D81 - Criteria for Decision-Making under Risk and Uncertainty
Source:	EconStor

Persistent link: https://www.econbiz.de/10010309909