Hedging Derivatives on Two Assets with Model Risk

Koichi Matsumoto, Keita Shimizu

研究成果: ジャーナルへの寄稿記事

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.

元の言語英語
ジャーナルAsia-Pacific Financial Markets
DOI
出版物ステータス受理済み/印刷中 - 1 1 2019

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Model risk
Hedging
Derivatives
Assets
Optimal solution
Static hedging

All Science Journal Classification (ASJC) codes

  • Finance

これを引用

Hedging Derivatives on Two Assets with Model Risk. / Matsumoto, Koichi; Shimizu, Keita.

:: Asia-Pacific Financial Markets, 01.01.2019.

研究成果: ジャーナルへの寄稿記事

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