Quantile hedging

In a complete financial market every contingent claim can be hedged perfectly. In an incomplete market it is possible to stay on the safe side by superhedging. But such strategies may require a large amount of initial capital. Here we study the question what an investor can do who is unwilling to spend that much, and who is ready to use a hedging strategy which succeeds with high probability.

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Year of publication:	1999-05-03
Authors:	FÃllmer, Hans ; Leukert, Peter
Published in:	Finance and Stochastics. - Springer. - Vol. 3.1999, 3, p. 251-273
Publisher:	Springer
Subject:	Hedging \| superhedging \| Neyman Pearson lemma \| stochastic volatility \| value at risk

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Extent:	application/pdf
Type of publication:	Article
Notes:	received: January 1998; final version received: August 1998
Classification:	G10 - General Financial Markets. General ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; D81 - Criteria for Decision-Making under Risk and Uncertainty
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005613416