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dc.contributor.authorDudenhausen, Antjeen_US
dc.date.accessioned2009-01-29T15:10:24Z-
dc.date.available2009-01-29T15:10:24Z-
dc.date.issued2002en_US
dc.identifier.urihttp://hdl.handle.net/10419/22855-
dc.description.abstractIn this paper, the effects of so-called model misspecification and the effects of dropping the assumption that continuous rebalancing is possible are examined. Strategies which are robust if applied continuously fail to be robust if applied in discrete time. Therefore, the hedging bias which originates from the effects of time-discretising strategies is analysed. It turns out that a systematic hedging bias can only be avoided if a discrete-time hedging model is used. It is shown how the robustness property for convex payoffs is recovered while at the same time the hedging bias is avoided.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseriesBonn econ discussion papers 2002,34en_US
dc.subject.jelG12en_US
dc.subject.jelG13en_US
dc.subject.ddc330en_US
dc.subject.keywordModel misspecificationen_US
dc.subject.keywordhedging strategiesen_US
dc.subject.keywordconvex payoffsen_US
dc.subject.keywordsuperhedgingen_US
dc.subject.keyworddiscrete-time tradingen_US
dc.subject.stwBlack-Scholes-Modellen_US
dc.subject.stwHedgingen_US
dc.subject.stwBiasen_US
dc.subject.stwTheorieen_US
dc.titleHow to Avoid a Hedging Biasen_US
dc.typeWorking Paperen_US
dc.identifier.ppn374453667en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn

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