Comparing quadratic and non-quadratic local risk minimization for the hedging of contingent claims - Archive ouverte HAL Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2013

Comparing quadratic and non-quadratic local risk minimization for the hedging of contingent claims

Résumé

In this note, I study further a new approach recently introduced for the hedging of derivatives in incomplete markets via non quadratic local risk minimization. A structure result is provided, which essentially shows the equivalence between non-quadratic risk minimization under the historical probability and quadratic local risk minimization under an equivalent, implicitly defined probability.
Fichier principal
Vignette du fichier
comparisonQuadraticNonquadratic.pdf (314.35 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-00771528 , version 1 (08-01-2013)

Identifiants

  • HAL Id : hal-00771528 , version 1

Citer

Frédéric Abergel. Comparing quadratic and non-quadratic local risk minimization for the hedging of contingent claims. 2013. ⟨hal-00771528⟩
131 Consultations
148 Téléchargements

Partager

Gmail Mastodon Facebook X LinkedIn More