QUANTILE HEDGING IN THE STOCHASTIC VOLATILITY MODEL

• Authors: Kliber P.
• 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

Keywords

EN

BLACK-SCHOLES MODEL; DYNAMICAL PROGRAMMING; QUANTILE HEDGING; STOCHASTIC VOLATILITY MODEL

Discipline

• ECONOMICS: ECONOMICS

• Publisher: Główny Urząd Statystyczny
• Journal: Przegląd Statystyczny
• Year: 2006
• Volume: 53
• Issue: 1
• Pages: 49-68
• Document type: ARTICLE

Contributors

author

Kliber P.

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

Identifiers

CEJSH db identifier

06PLAAAA01162684