منابع مشابه
Conservative Delta Hedging
It is common to have interval predictions for volatilities and other quantities governing securities prices. The purpose of this paper is to provide an exact method for converting such intervals into arbitrage based prices of financial derivatives or industrial or contractual options. We call this procedure conservative delta hedging. The proposed approach will permit an institution’s managemen...
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In this article we compare the Profit and Loss arising from the delta-neutral dynamic hedging of options, using two possible values for the delta of the option. The first one is the Black– Scholes implied delta, while the second one is the local delta, namely the delta of the option in a generalized Black–Scholes model with a local volatility, recalibrated to the market smile every day. We expl...
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While the Gaussian copula model is commonly used as a static quotation device for CDO tranches, its use for hedging is questionable. In particular, the spread delta computed from the Gaussian copula model assumes constant base correlations, whereas we show that the correlations are dynamic and correlated to the index spread. It might therefore be expected that a dynamic model of credit risk, wh...
متن کاملA model-free approach to delta hedging
Delta hedging, which plays a crucial rôle in modern financial engineering, is a tracking control design for a “risk-free” management. We utilize the existence of trends for financial time series (Fliess M., Join C.: A mathematical proof of the existence of trends in financial time series, Proc. Int. Conf. Systems Theory: Modelling, Analysis and Control, Fes, 2009. Online: http://hal.inria.fr/in...
متن کاملTesting for Jumps: A Delta-Hedging Perspective∗
We measure asset price jumps by the hedging error they induce on a delta-hedged position of European options. Based on high frequency data, we propose a nonparametric estimator for this measure and a test for its positivity. We further construct a Kolmogorov-type test for the presence of jump hedging errors for a possibly infinite-dimensional family of options based on the worst-case contract i...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2000
ISSN: 1050-5164
DOI: 10.1214/aoap/1019487360