Conservative delta hedging

Per Aslak Mykland

doi:10.1214/aoap/1019487360

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Home > Journals > Ann. Appl. Probab. > Volume 10 > Issue 2 > Article

May 2000 Conservative delta hedging

Per Aslak Mykland

Ann. Appl. Probab. 10(2): 664-683 (May 2000). DOI: 10.1214/aoap/1019487360

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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.