Optimal hedging and parameter uncertainty

Optimal hedging and parameter uncertainty

Бусад хувилбаруудыг харуулах (1)

We explore the impact of drift parameter uncertainty in a basis risk model, an incomplete market in which a claim on a non-traded asset is optimally hedged using a correlated traded stock. Using analytic expansions for indifference prices and hedging strategies, we develop an efficient procedure to...

Бүрэн тодорхойлолт

Номзүйн дэлгэрэнгүй
Үндсэн зохиолч:	Monoyios, M
Формат:	Journal article
Хэвлэсэн:	2007

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