PL EN


2005 | 52 | 4 | 60-77
Article title

QUANTILE HEDGING OF THE EUROPEAN OPTION IN THE COX-RUBINSTEIN MODEL

Authors
Title variants
Languages of publication
PL
Abstracts
EN
The article concerns the quantile hedging of an European option in the Cox-Rubinstein model. After introducing the problem of hedging a derivative instrument, two problems of quantile hedging were formulated. Then, using the method based on a martingale measure, the optimal success coefficient for hedging European option were derived. Finally, the results of empirical research concerning the quality of the quantile hedging the warrants from the Polish stock market were given. In this empirical research the Monte Carlo method with the bootstrap samples was used
Year
Volume
52
Issue
4
Pages
60-77
Physical description
Document type
ARTICLE
Contributors
author
  • P. Kliber, Akademia Ekonomiczna w Poznaniu, Katedra Ekonomii i Matematyki, al. Niepodleglosci 10, 60-967 Poznan, Poland
References
Document Type
Publication order reference
Identifiers
CEJSH db identifier
06PLAAAA01272891
YADDA identifier
bwmeta1.element.68d7426b-ecb3-3508-85af-f4a0e86c4216
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