• Medientyp: E-Book; Bericht
  • Titel: Quantile hedging
  • Beteiligte: Föllmer, Hans [VerfasserIn]; Leukert, Peter [VerfasserIn]
  • Erschienen: Berlin: Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, 1998
  • Sprache: Englisch
  • Schlagwörter: Neyman Pearson lemma ; G10 ; superhedging ; value at risk ; D81 ; G13 ; G12 ; stochastic volatility ; Hedging
  • Entstehung:
  • Anmerkungen: Diese Datenquelle enthält auch Bestandsnachweise, die nicht zu einem Volltext führen.
  • Beschreibung: In a complete financial market every contingent claim can be hedged perfectly. In an incomplete market it is possible to stay on the safe side by superhedging. But such strategies may require a large amount of initial capital. Here we study the question what an investor can do who is unwilling to spend that much, and who is ready to use a hedging strategy which succeeds with high probability.
  • Zugangsstatus: Freier Zugang