Conservative delta hedging
Mykland, Per Aslak
Ann. Appl. Probab., Tome 10 (2000) no. 2, p. 664-683 / Harvested from Project Euclid
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It is common to have interval predictions for volatilities and other quantities governing securities prices. The purpose of this paper is to provide an exact method for converting such intervals into arbitrage based prices of financial derivatives or industrial or contractual options.We call this procedure conservative delta hedging. The proposed approach will permit an institution’s management a greater oversight of its exposure to risk.
Publié le : 2000-05-14
Classification:  Incompleteness,  statistical uncertainty,  value at risk,  91B28,  91B30,  60H30,  62G15,  62M99 
@article{1019487360,
     author = {Mykland, Per Aslak},
     title = {Conservative delta hedging},
     journal = {Ann. Appl. Probab.},
     volume = {10},
     number = {2},
     year = {2000},
     pages = { 664-683},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1019487360}
}

Mykland, Per Aslak. Conservative delta hedging. Ann. Appl. Probab., Tome 10 (2000) no. 2, pp.  664-683. http://gdmltest.u-ga.fr/item/1019487360/