指数ヘッジと平均分数ヘッジ:非完備市場モデルにおける数値実験
スポンサーリンク
概要
- 論文の詳細を見る
In this article, we consider the exponential hedging and the mean-variance hedging in the basis riskmodel. The basis risk model is a typical example of the in the incomplete market model. The basis riskmodel describes the market model in which the underlying asset of the contingent claim is not traded inthe financial market. We compare the hedge performances for both the mean-variance hedging and theexponential hedging by simulating hedge errors. We further demonstrate the exponential hedging fortwo different initial hedge costs and risk-aversions respectively. These demonstrations give the optimalhedging cost (i.e., utility indifference price) which leads the well performance in the exponential hedging,and also verify the relation between the risk-averse and the performance of the exponential hedging.
- 名古屋商科大学の論文
- 2013-08-00
著者
関連論文
- ストック・オプションの評価誤差 : 理論・実証研究からの示唆
- Utility Indifference Price for the Asian Option in the Stochastic Volatility Model
- Note on Utility Maximization Problem via Duality Method : How to Derive the Candidate for the Dual Formulation
- 指数ヘッジと平均分数ヘッジ:非完備市場モデルにおける数値実験