Hedging Derivatives on Two Assets with Model Risk

Koichi Matsumoto, Keita Shimizu

研究成果: Contribution to journalArticle査読

抄録

This paper studies a static hedging problem of derivatives when the model risk exists. When the payoff of derivative depends on one asset, Matsumoto (Int J Financ Eng 4(4):1750042, 2017b) solves the problem. We extend his result to derivatives on two assets. Though the optimal solution is more complicated, we show that the problem can be solved numerically in an algebraic way. Further we give some simple numerical examples to show our method works well.

本文言語英語
ページ(範囲)83-95
ページ数13
ジャーナルAsia-Pacific Financial Markets
27
1
DOI
出版ステータス出版済み - 3 1 2020

All Science Journal Classification (ASJC) codes

  • 財務

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