Geodesic
Quantile hedging for basket derivatives
Michał Barski1
1 Faculty of Mathematics and Computer Science University of Leipzig Leipzig, Germany and Faculty of Mathematics Cardinal Stefan Wyszyński University 01-938 Warszawa, Poland
Applicationes Mathematicae, Tome 39 (2012) no. 1, pp. 103-127

Voir la notice de l'article provenant de la source Institute of Mathematics Polish Academy of Sciences

The problem of quantile hedging for basket 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 to the widely traded derivatives like digital, quantos, outperformance and spread options is shown.
DOI : 10.4064/am39-1-7
Keywords: problem quantile hedging basket derivatives black scholes model correlation considered explicit formulas probability maximizing function cost reduction function derived applicability results widely traded derivatives digital quantos outperformance spread options shown

Michał Barski 1

1 Faculty of Mathematics and Computer Science University of Leipzig Leipzig, Germany and Faculty of Mathematics Cardinal Stefan Wyszyński University 01-938 Warszawa, Poland 
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Michał Barski. Quantile hedging for basket derivatives. Applicationes Mathematicae, Tome 39 (2012) no. 1, pp. 103-127. doi: 10.4064/am39-1-7

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