Quantile hedging for basket derivatives

Micha{\l} Barski

Papers from arXiv.org

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 for the widely traded derivatives as digital, quantos, outperformance and spread options is shown.

Date: 2010-10, Revised 2016-01
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Citations: View citations in EconPapers (1)

Published in Applicationes Mathematicae, 2012, 39,1, 103-127

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