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Quantile hedging for multiple assets derivatives

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  • Michal Barski
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    Abstract

    The problem of quantile hedging for multiple assets derivatives in the Black-Scholes model with correlation is considered. Explicit formulas for the probability maximizing function and the cost reduction function are derived. Applicability of the results for the widely traded derivatives as digital, quantos, outperformance and spread options is shown.

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    File URL: http://arxiv.org/pdf/1010.5810
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1010.5810.

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    Date of creation: Oct 2010
    Date of revision: Feb 2011
    Handle: RePEc:arx:papers:1010.5810

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    Web page: http://arxiv.org/

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    Cited by:
    1. Huu Thai Nguyen & Serguei Pergamenchtchikov, 2012. "Approximate hedging problem with transaction costs in stochastic volatility markets," Working Papers hal-00808608, HAL.

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