Quantile hedging for multiple assets derivatives

Details Quantile hedging for multiple assets derivatives Quantile hedging for multiple assets derivatives

2010-10-27

arxiv.org/abs/1010.5810v2

Economy

Quantitative Finance

Risk Management

Scientific paper

The problem of quantile hedging for multiple assets derivatives in the
Black-Scholes model with correlation is considered. Explicit formulas for the
probability maximizing function and the cost reduction function are derived.
Applicability of the results for the widely traded derivatives as digital,
quantos, outperformance and spread options is shown.

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