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
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.