Abstract : Building on the work of Schweizer (1995) and Cern and Kallseny (2007), we present discrete time formulas minimizing the mean square hedging error for multidimensional assets. In particular, we give explicit formulas when a regime-switching random walk or a GARCH-type process is utilized to model the returns. Monte Carlo simulations are used to compare the optimal and delta hedging methods.
https://hal.univ-cotedazur.fr/hal-00755339
Contributeur : Sylvain Rubenthaler
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Soumis le : mercredi 21 novembre 2012 - 09:52:07
Dernière modification le : jeudi 3 mai 2018 - 13:32:58
Document(s) archivé(s) le : vendredi 22 février 2013 - 03:47:12
Bruno Rémillard, Sylvain Rubenthaler. OPTIMAL HEDGING IN DISCRETE TIME. Quantitative Finance, Taylor & Francis (Routledge), 2013, 13 (6), pp.819-825. 〈hal-00755339〉
