A moment computation algorithm for the error in discrete dynamic hedging
A moment computation algorithm for the error in discrete dynamic hedging
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DOI：
10.1016/j.jbankfin.2005.04.015
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发表时间：
2006-02
影响因子：
3.7
通讯作者：
J. Primbs;Yuji Yamada
中科院分区：
文献类型：
--
作者：
J. Primbs;Yuji Yamada
本文发展了一种计算方法，以确定离散交易下动态套期保值或收益复制策略中误差分布的矩。特别是，算法开发的投资组合仿射交易策略，这导致投资组合的动态是仿射的投资组合变量。这种结构可以利用在这样的策略的对冲误差的时刻的计算，导致基于网格的向后递归类似于基于网格的定价技术的性质，但不需要投资组合变量。利用该算法通过套期保值误差的矩来分析离散交易下投资组合仿射套期保值策略的性能。
This paper develops a computational approach to determining the moments of the distribution of the error in a dynamic hedging or payoff replication strategy under discrete trading. In particular, an algorithm is developed for portfolio affine trading strategies, which lead to portfolio dynamics that are affine in the portfolio variable. This structure can be exploited in the computation of moments of the hedging error of such a strategy, leading to a lattice based backward recursion similar in nature to lattice based pricing techniques, but not requiring the portfolio variable. We use this algorithm to analyze the performance of portfolio affine hedging strategies under discrete trading through the moments of the hedging error.