Mean-variance hedging with model risk
Mean-variance hedging with model risk
复制标题
模型风险均值方差对冲
DOI：
10.1142/s2424786317500426
复制
发表时间：
2017
影响因子：
0.7
通讯作者：
Koichi Matsumoto
中科院分区：
文献类型：
--
作者：
Koichi Matsumoto;Keita Shimizu;Koichi Matsumoto
研究了存在模型风险的单周期模型下衍生证券的套期保值问题。套期误差用二次准则来衡量。模型风险是指真实模型是不确定的，并且真实模型有许多候选。真实的模型被假定在一组模型中。我们研究了一种最优策略，使集合中所有模型的最坏情况对冲误差最小化。我们展示了如何有效地计算最优策略和最小对冲误差。最后给出了数值算例，说明了该方法的有效性。
This paper studies a hedging problem of a derivative security in a one-period model when there is the model risk. The hedging error is measured by a quadratic criterion. The model risk means that the true model is uncertain and there are many candidates for the true model. The true model is assumed to be in a set of models. We study an optimal strategy which minimizes the worst-case hedging error over all models in the set. We show how to calculate an optimal strategy and the minimum hedging error effectively. Finally we give some numerical examples to demonstrate the usefulness of our method.