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dc.contributor.authorDudenhausen, Antjeen
dc.date.accessioned2009-01-29T15:10:24Z-
dc.date.available2009-01-29T15:10:24Z-
dc.date.issued2002-
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
dc.language.isoengen
dc.publisher|aUniversity of Bonn, Bonn Graduate School of Economics (BGSE) |cBonnen
dc.relation.ispartofseries|aBonn Econ Discussion Papers |x34/2002en
dc.subject.jelG12en
dc.subject.jelG13en
dc.subject.ddc330en
dc.subject.keywordModel misspecificationen
dc.subject.keywordhedging strategiesen
dc.subject.keywordconvex payoffsen
dc.subject.keywordsuperhedgingen
dc.subject.keyworddiscrete-time tradingen
dc.subject.stwBlack-Scholes-Modellen
dc.subject.stwHedgingen
dc.subject.stwBiasen
dc.subject.stwTheorieen
dc.titleHow to Avoid a Hedging Bias-
dc.typeWorking Paperen
dc.identifier.ppn374453667en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bonedp:342002-

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