Quantile hedging for multiple assets derivatives
AbstractThe 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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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1010.5810.
Date of creation: Oct 2010
Date of revision: Feb 2011
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-11-06 (All new papers)
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- Huu Thai Nguyen & Serguei Pergamenchtchikov, 2012.
"Approximate hedging problem with transaction costs in stochastic volatility markets,"
- 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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