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

• Authors: Kliber P.
• 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

Keywords

EN

DERIVATIVE INSTRUMENT; MARTINGALE MEASURE; SUCCESS COEFFICIENTS

Discipline

• ECONOMICS: ECONOMICS

• Publisher: Główny Urząd Statystyczny
• Journal: Przegląd Statystyczny
• Year: 2005
• Volume: 52
• Issue: 4
• Pages: 60-77
• Document type: ARTICLE

Contributors

author

Kliber P.

• P. Kliber, Akademia Ekonomiczna w Poznaniu, Katedra Ekonomii i Matematyki, al. Niepodleglosci 10, 60-967 Poznan, Poland

Identifiers

CEJSH db identifier

06PLAAAA01272891