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Rheinische Friedrich-Wilhelms-Universität Bonn >
Bonn Graduate School of Economics (BGSE), Universität Bonn >
Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/22855
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Dudenhausen, Antje | | en_US |
| dc.date.accessioned | | 2009-01-29T15:10:24Z | | - |
| dc.date.available | | 2009-01-29T15:10:24Z | | - |
| dc.date.issued | | 2002 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/22855 | | - |
| dc.description.abstract | | In 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.iso | | eng | | en_US |
| dc.publisher | | | | en_US |
| dc.relation.ispartofseries | | Bonn econ discussion papers 2002,34 | | en_US |
| dc.subject.jel | | G12 | | en_US |
| dc.subject.jel | | G13 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Model misspecification | | en_US |
| dc.subject.keyword | | hedging strategies | | en_US |
| dc.subject.keyword | | convex payoffs | | en_US |
| dc.subject.keyword | | superhedging | | en_US |
| dc.subject.keyword | | discrete-time trading | | en_US |
| dc.subject.stw | | Black-Scholes-Modell | | en_US |
| dc.subject.stw | | Hedging | | en_US |
| dc.subject.stw | | Bias | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | How to Avoid a Hedging Bias | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 374453667 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn
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