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Seminar on Probability and Statistics
Seminar information archive ～05/21｜Next seminar｜Future seminars 05/22～
| Organizer(s) | Nakahiro Yoshida, Hiroki Masuda, Teppei Ogihara, Yuta Koike |
|---|
2009/10/22
16:30-17:40 Room #122 (Graduate School of Math. Sci. Bldg.)
深澤 正彰 (大阪大学 金融・保険教育研究センター)
ASYMPTOTICALLY EFFICIENT DISCRETE HEDGING
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2009/07.html
深澤 正彰 (大阪大学 金融・保険教育研究センター)
ASYMPTOTICALLY EFFICIENT DISCRETE HEDGING
[ Abstract ]
The notion of asymptotic efficiency for discrete hedging is introduced and a discretizing strategy which is asymptotically efficient is given explicitly. A lower bound for asymptotic risk of discrete hedging is given, which is attained by a simple discretization scheme. Numerical results for delta hedging in the Black-Scholes model are also presented.
[ Reference URL ]The notion of asymptotic efficiency for discrete hedging is introduced and a discretizing strategy which is asymptotically efficient is given explicitly. A lower bound for asymptotic risk of discrete hedging is given, which is attained by a simple discretization scheme. Numerical results for delta hedging in the Black-Scholes model are also presented.
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2009/07.html
