Articlebronze2000

Conservative delta hedging

45 citations0/0 files storedThe Annals of Applied Probability

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Risk Management in Financial Firms

Abstract

It is common to have interval predictions for volatilities and other quantities governing securities prices. The purpose of this paper is to provide an exact method for converting such intervals into arbitrage based prices of financial derivatives or industrial or contractual options.We call this procedure conservative delta hedging. The proposed approach will permit an institution’s management a greater oversight of its exposure to risk.

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2007Brownian Motion and Stochastic Calculus 2005Theory of rational option pricing 1992ARCH modeling in finance 1987The Pricing of Options on Assets with Stochastic Volatilities 1979Martingales and arbitrage in multiperiod securities markets 1981Martingales and stochastic integrals in the theory of continuous trading

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2011Discretization error of stochastic integrals

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