Neural Network for Pricing and Universal Static Hedging of Contingent Claims
نویسندگان
چکیده
منابع مشابه
Hedging Demands in Hedging Contingent Claims
Minimum-variance hedging of a contingent claim in discrete time is suboptimal when the contingent claim is hedged for multiple periods and the objective is to maximize the expected utility of cumulative hedging errors. This is because the hedging errors are not independent. The difference between a minimum-variance hedge and the optimal multiperiod hedge is called the hedging demand and depends...
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This paper extends the known results on the equivalence between market completeness and the uniqueness of martingale measures for finite asset economies, to the infinite asset case. Our arguments employ results from the theory of linear operators between locally convex topological vector spaces. This theory of linear operators provides an operational approach to the issue of completeness and un...
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This report surveys important results in the literature on the problem of hedging contingent claims in incomplete markets. Consider a probability space (Ω,F , P ) and let X be a stochastic process describing the fluctuation of the stock price. Given a contingent claim H, the problem is to find an “optimal” admissible trading strategy, which is a dynamic porfolio of stock and bond (with fixed pr...
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This paper is a study of continuously resettled contingent claims prices in a stochastic economy. As special cases, the relationship between futures and forward prices is analyzed, and a preference-free expression is derived for these prices, as well as the price of a continuously resettled futures option, whose formula differs from Black’s futures option pricing formula due to the effects of m...
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The valuation theory for American Contingent Claims, due to Bensoussan (1984) and Karatzas (1988), is extended to deal with constraints on portfolio choice, including incomplete markets and borrowing/short-selling constraints, or with different interest rates for borrowing and lending. In the unconstrained case, the classical theory provides a single arbitrage-free price u0; this is expressed a...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2019
ISSN: 1556-5068
DOI: 10.2139/ssrn.3491209