DocumentCode
3161799
Title
Mean square optimal hedging with non-uniform rebalancing intervals
Author
Sato, K. ; Yuji, Y. ; Fujioka, H.
Author_Institution
Kyoto Univ., Kyoto
fYear
2008
fDate
20-22 Aug. 2008
Firstpage
3143
Lastpage
3146
Abstract
This paper proposes a method of discrete hedging by extending the MSOH (mean square optimal hedging) problem. In the proposed method, the risk of option sellers is minimized in terms of the mean square hedging error as in the MSOH problem, while it is allowed to rebalance with non-uniform intervals as opposed to the uniform assumption in the MSOH problem. The benefit of the extra freedom is demonstrated via numerical simulations.
Keywords
financial data processing; least mean squares methods; discrete hedging; mean square optimal hedging; nonuniform rebalancing interval; Computational efficiency; Costs; Friction; Heart; Numerical simulation; Portfolios; Pricing; Security; Stochastic processes; Utility theory; non-uniform control; option hedging;
fLanguage
English
Publisher
ieee
Conference_Titel
SICE Annual Conference, 2008
Conference_Location
Tokyo
Print_ISBN
978-4-907764-30-2
Electronic_ISBN
978-4-907764-29-6
Type
conf
DOI
10.1109/SICE.2008.4655205
Filename
4655205
Link To Document