A moment based analysis of hedging under discrete trading
A moment based analysis of hedging under discrete trading
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离散交易下套期保值的矩分析
DOI：
10.1109/cifer.2003.1196244
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发表时间：
2003
期刊：
影响因子：
--
通讯作者：
Yuji Yamada
中科院分区：
文献类型：
--
作者：
J. Primbs;Yuji Yamada
本文分析了三种不同期权的两种套期保值策略在交易受限于离散时刻时的表现。具体地说，我们比较了对欧式看涨期权、数字看涨期权和无障碍看涨期权应用Delta套期保值和均方最优套期保值所产生的套期保值误差的均值、标准差、偏度和峰度。结果表明，两种套期保值在欧式看涨期权和数字期权上的表现相当，但均方最优套期保值在套期保值障碍期权时表现更好。
This paper analyzes the performance of two hedging strategies on three different options when trading is limited to take place at discrete times. Specifically, we compare the mean, standard deviation, skewness, and kurtosis of the hedging error resulting from applying a delta hedge and mean square optimal hedge to a European call option, a digital call option, and a down-and-out barrier call option. The results indicate that the two hedges perform equally well on the European call option and digital option, but the mean square optimal hedge is superior when hedging the barrier option.