Cross hedging with stochastic correlation
نویسندگان
چکیده
منابع مشابه
Cross hedging with stochastic correlation
This paper is concerned with the study of quadratic hedging of contingent claims with basis risk. We extend existing results by allowing the correlation between the hedging instrument and the underlying of the contingent claim to be random itself. We assume that the correlation process ρ evolves according to a stochastic differential equation with values between the boundaries −1 and 1. We keep...
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ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 2010
ISSN: 0949-2984,1432-1122
DOI: 10.1007/s00780-010-0148-2