Integral representations of risk functions for basket derivatives
Michał Barski
Applicationes Mathematicae, Tome 39 (2012), p. 489-514 / Harvested from The Polish Digital Mathematics Library
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The risk minimizing problem E[l((H-XTx,π)⁺)]→πmin in the multidimensional Black-Scholes framework is studied. Specific formulas for the minimal risk function and the cost reduction function for basket derivatives are shown. Explicit integral representations for the risk functions for l(x) = x and l(x)=xp, with p > 1 for digital, quantos, outperformance and spread options are derived.

Publié le : 2012-01-01
EUDML-ID : urn:eudml:doc:280038 
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Michał Barski. Integral representations of risk functions for basket derivatives. Applicationes Mathematicae, Tome 39 (2012) pp. 489-514. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am39-4-6/