Korean Statistical Society;Singapore: Elsevier B.V
摘要:
摘要： An optimal multi-step hedging strategy is proposed to minimize one’s exposure to risk. The proposed strategy, called the QRA-hedging, is based on the minimization of the quadratic risk-adjusted hedging costs and extends the result of Elliott and Madan (1998) to the multi-step case. The multi-step QRA-hedging cost is proved to be the same as the no-arbitrage price derived by the extended Girsanov principle. The QRA-hedging strategy is investigated under complete and incomplete market models. A regression-based method is proposed to estimate the QRA-hedging positions. And a dynamic programming is developed to facilitate computation of the QRA-hedging strategy. Simulation and empirical studies are performed to compare the QRA with other hedging strategies under complete and incomplete market models. 其他題名： J. Korean Stat. Soc 出版者： Singapore: Elsevier B.V 出版日期： 2013-03-01 出處： Journal of the Korean Statistical Society, 2013, 42(1), , pp.37-49 版權： 2012 The Korean Statistical Society 版權： Korean Statistical Society 2012 識別號： ISSN: 1226-3192 識別號： EISSN: 2005-2863 識別號： DOI: 10.1016/j.jkss.2012.04.008
