PL EN


2006 | 53 | 1 | 49-68
Article title

QUANTILE HEDGING IN THE STOCHASTIC VOLATILITY MODEL

Authors
Title variants
Languages of publication
PL
Abstracts
EN
In this paper we deal with quantile hedging of derivatives in the stochastic volatility (SV) models. We assume that temporary volatility of the stock prices is AR(1) process (autoregressive process of order 1). Then we formulate the problem of maximizing the expected success coefficient regarded that the cost of the hedging is limited. We describe how to solve this problem using dynamical programming method. Then we show empirical results for Polish stock market and compare the quality of the quantile hedging with the hedging based on Black-Scholes model
Year
Volume
53
Issue
1
Pages
49-68
Physical description
Document type
ARTICLE
Contributors
author
  • P. Kliber, Akademia Ekonomiczna w Poznaniu, al. Niepodleglosci 10, 60-967 Poznan, Poland
References
Document Type
Publication order reference
Identifiers
CEJSH db identifier
06PLAAAA01162684
YADDA identifier
bwmeta1.element.8a9cf21a-1029-33e1-86d1-68b607f95ce7
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