ANKIRCHNER, STEFAN; PIGORSCH, CHRISTIAN; SCHWEIZER, NIKOLAUS - In: International Journal of Theoretical and Applied … 17 (2014) 07, pp. 1450042-1
Frequently, dynamic hedging strategies minimizing risk exposure are not given in closed form, but need to be … approximated numerically. This makes it difficult to estimate residual hedging risk, also called basis risk, when only imperfect … hedging instruments are at hand. We propose an easy to implement and computationally efficient least-squares Monte Carlo …