Conservative delta hedging

• 成果类型: Article
• 署名作者: Mykland, PA
• 署名单位: University of Chicago
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• 发表日期: 2000
• 页码: 664-683
• 关键词: STOCHASTIC VOLATILITY MODELS; Contingent claims; arbitrage; options; prices

摘要

It is common to have interval predictions for volatilities and other quantities governing securities prices. The purpose of this paper is to provide an exact method for converting such intervals into arbitrage based prices of financial derivatives or industrial or contractual options. We call this procedure conservative delta hedging. The proposed approach will permit an institution's management a greater oversight of its exposure to risk.