pith. sign in

arxiv: 1211.5035 · v1 · pith:JLEUXXRZnew · submitted 2012-11-21 · 💱 q-fin.PR · math.PR

Optimal hedging in discrete time

classification 💱 q-fin.PR math.PR
keywords hedgingdiscreteformulasoptimaltimeassetsbuildingcarlo
0
0 comments X
read the original abstract

Building on the work of Schweizer (1995) and Cern and Kallseny (2007), we present discrete time formulas minimizing the mean square hedging error for multidimensional assets. In particular, we give explicit formulas when a regime-switching random walk or a GARCH-type process is utilized to model the returns. Monte Carlo simulations are used to compare the optimal and delta hedging methods.

This paper has not been read by Pith yet.

discussion (0)

Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.