Work

Quantile hedging for basket derivatives

Year: 2010

Type: preprint

Abstract: The problem of quantile hedging for basket 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.

Source: RePEc: Research Papers in Economics

DOI: 10.48550/arxiv.1010.5810

Author: Barski, Michał

Institutions: Cardinal Stefan Wyszynski University in Warsaw, Leipzig University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2963071468

Cites: 7

Cited by: 1

Related to: 20