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Properties of Optimal Smooth Functions in Additive Models for Hedging Multivariate Derivatives
http://hdl.handle.net/2241/00146062
http://hdl.handle.net/2241/0014606296560548-89b1-43ac-8d79-cc71cde7e6fd
名前 / ファイル | ライセンス | アクション |
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APFM_19-2 (247.2 kB)
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Item type | Journal Article(1) | |||||
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公開日 | 2017-05-11 | |||||
タイトル | ||||||
タイトル | Properties of Optimal Smooth Functions in Additive Models for Hedging Multivariate Derivatives | |||||
言語 | ||||||
言語 | eng | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_6501 | |||||
タイプ | journal article | |||||
著者 |
Yamada, Yuji
× Yamada, Yuji |
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著者別名 |
山田, 雄二
× 山田, 雄二 |
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抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | In this paper, we consider an optimal hedging problem for multivariate derivative based on the additive sum of smooth functions on individual assets that minimize the mean square error (or the variance with zero expected value) from the derivative payoff. By applying the necessary and sufficient condition with suitable discretization, we derive a set of linear equations to construct optimal smooth functions, where we show that the computations involving conditional expectations for the multivariate derivatives may be reduced to those of unconditional expectations, and thus, the total procedure can be executed efficiently. We investigate the theoretical properties for the optimal smooth functions and clarify the following three facts: (i) the value of each individual option takes an optimal trajectory to minimize the mean square hedging error under the risk neutral probability measure, (ii) optimal smooth functions for the put option may be constructed using those for the call option (and vice versa), and (iii) delta in the replicating portfolio may be computed efficiently. Numerical experiments are included to show the effectiveness of our proposed methodology. | |||||
書誌情報 |
Asia-Pacific financial markets 巻 19, 号 2, p. 149-179, 発行日 2012-05 |
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ISSN | ||||||
収録物識別子タイプ | ISSN | |||||
収録物識別子 | 1387-2834 | |||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11224457 | |||||
DOI | ||||||
識別子タイプ | DOI | |||||
関連識別子 | 10.1007/s10690-011-9145-5 | |||||
権利 | ||||||
権利情報 | © Springer Science+Business Media, LLC. 2011 | |||||
権利 | ||||||
権利情報 | The final publication is available at Springer via http://dx.doi.org/10.1007/s10690-011-9145-5 | |||||
著者版フラグ | ||||||
値 | author | |||||
出版者 | ||||||
出版者 | Springer Japan |