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Properties of Optimal Smooth Functions in Additive Models for Hedging Multivariate Derivatives

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  • Yuji Yamada

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    File URL: http://hdl.handle.net/10.1007/s10690-011-9145-5
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    Bibliographic Info

    Article provided by Springer in its journal Asia-Pacific Financial Markets.

    Volume (Year): 19 (2012)
    Issue (Month): 2 (May)
    Pages: 149-179

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    Handle: RePEc:kap:apfinm:v:19:y:2012:i:2:p:149-179

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    Web page: http://springerlink.metapress.com/link.asp?id=102851

    Related research

    Keywords: Additive models; Minimum variance hedging; Basket options; Multivariate derivatives; Smooth functions;

    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Eduardo S. Schwartz & Claudio Tebaldi, 2006. "Illiquid Assets and Optimal Portfolio Choice," NBER Working Papers 12633, National Bureau of Economic Research, Inc.
    2. David Hobson & Peter Laurence & Tai-Ho Wang, 2005. "Static-arbitrage upper bounds for the prices of basket options," Quantitative Finance, Taylor & Francis Journals, vol. 5(4), pages 329-342.
    3. Garcia, Rene & Gencay, Ramazan, 2000. "Pricing and hedging derivative securities with neural networks and a homogeneity hint," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 93-115.
    4. Toby Daglish, 2003. "A Pricing and Hedging Comparison of Parametric and Nonparametric Approaches for American Index Options," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 1(3), pages 327-364.
    5. Stutzer, Michael, 1996. " A Simple Nonparametric Approach to Derivative Security Valuation," Journal of Finance, American Finance Association, vol. 51(5), pages 1633-52, December.
    6. Yuji Yamada, 2008. "Optimal Hedging of Prediction Errors Using Prediction Errors," Asia-Pacific Financial Markets, Springer, vol. 15(1), pages 67-95, March.
    7. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
    8. James M. Hutchinson & Andrew W. Lo & Tomaso Poggio, 1995. "A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks," NBER Working Papers 4718, National Bureau of Economic Research, Inc.
    9. P. Carr & D. Madan, 2001. "Optimal positioning in derivative securities," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 19-37.
    10. Alcock, Jamie & Gray, Philip, 2005. "Dynamic, nonparametric hedging of European style contingent claims using canonical valuation," Finance Research Letters, Elsevier, vol. 2(1), pages 41-50, March.
    11. Hull, John & White, Alan, 1990. "Valuing Derivative Securities Using the Explicit Finite Difference Method," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(01), pages 87-100, March.
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