• Medientyp: E-Book
  • Titel: Option Pricing and Hedging with Minimum Local Expected Shortfall
  • Beteiligte: Pochart, Benoit [VerfasserIn]; Bouchaud, Jean-Philippe [Sonstige Person, Familie und Körperschaft]
  • Erschienen: [S.l.]: SSRN, [2003]
  • Umfang: 1 Online-Ressource (23 p)
  • Sprache: Nicht zu entscheiden
  • DOI: 10.2139/ssrn.438980
  • Identifikator:
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  • Beschreibung: We propose a versatile Monte-Carlo method for pricing and hedging options when the market is incomplete, for an arbitrary risk criterion (chosen here to be the expected shortfall), for a large class of stochastic processes, and in the presence of transaction costs.We illustrate the method on plain vanilla options when the price returns follow a Student-t distribution. We show that in the presence of fat-tails, our strategy allows tosignificantly reduce extreme risks, and generically leads to low Gamma hedging.Similarly, the inclusion of transaction costs reduces the Gamma of the optimal strategy
  • Zugangsstatus: Freier Zugang