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May 2000 Conservative delta hedging
Per Aslak Mykland
Ann. Appl. Probab. 10(2): 664-683 (May 2000). DOI: 10.1214/aoap/1019487360

Abstract

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.

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Per Aslak Mykland. "Conservative delta hedging." Ann. Appl. Probab. 10 (2) 664 - 683, May 2000. https://doi.org/10.1214/aoap/1019487360

Information

Published: May 2000
First available in Project Euclid: 22 April 2002

zbMATH: 1065.91030
MathSciNet: MR1768218
Digital Object Identifier: 10.1214/aoap/1019487360

Subjects:
Primary: 91B28 , 91B30
Secondary: 60H30 , 62G15 , 62M99

Keywords: Incompleteness , statistical uncertainty , value at risk

Rights: Copyright © 2000 Institute of Mathematical Statistics

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Vol.10 • No. 2 • May 2000
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