Quantile hedging for basket derivatives
Applicationes Mathematicae (2012)
- Volume: 39, Issue: 1, page 103-127
- ISSN: 1233-7234
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topMichał Barski. "Quantile hedging for basket derivatives." Applicationes Mathematicae 39.1 (2012): 103-127. <http://eudml.org/doc/279859>.
@article{MichałBarski2012,
abstract = {The problem of quantile hedging for basket derivatives in the Black-Scholes model with correlation is considered. Explicit formulas for the probability maximizing function and the cost reduction function are derived. Applicability of the results to the widely traded derivatives like digital, quantos, outperformance and spread options is shown.},
author = {Michał Barski},
journal = {Applicationes Mathematicae},
keywords = {quantile hedging; basket derivatives; correlated assets},
language = {eng},
number = {1},
pages = {103-127},
title = {Quantile hedging for basket derivatives},
url = {http://eudml.org/doc/279859},
volume = {39},
year = {2012},
}
TY - JOUR
AU - Michał Barski
TI - Quantile hedging for basket derivatives
JO - Applicationes Mathematicae
PY - 2012
VL - 39
IS - 1
SP - 103
EP - 127
AB - The problem of quantile hedging for basket derivatives in the Black-Scholes model with correlation is considered. Explicit formulas for the probability maximizing function and the cost reduction function are derived. Applicability of the results to the widely traded derivatives like digital, quantos, outperformance and spread options is shown.
LA - eng
KW - quantile hedging; basket derivatives; correlated assets
UR - http://eudml.org/doc/279859
ER -
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