Ευκαιρίες βέβαιου κέρδους στην αντιστάθμιση χρηματοοικονομικών παραγώγων
Arbitrage opportunities to derivative hedging
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Keywords
Αντιστάθμιση κινδύνου ; Τιμολόγηση ; Χρηματοοικονομικά παράγωγα ; Δικαιώματα προαίρεσης ; Στοχαστικές διαδικασίες ; Μοντέλο Black Scholes ; ArbitrageAbstract
In this work random arbitrage opportunities and their implications in hedging for pricing financial derivatives will be studied. In particular, we will extend the asymptotic pricing theory and we will focus our study to discover confidence intervals for hedging. Hedging confidence intervals and their linchpin to the amount of arbitrage risk an investor will permit to be exposed to will be founded. Moreover, sufficient evidence in order to indicate that the resulting hedging zones are independent of the detailed statistical characteristics of certain profit opportunities will be provided. In addition, numerical results based on pricing theory about hedging, which will focus on effective hedging ratio’s largest deviations from the usual BlackScholes hedging ratio will be provided, and finally useful conclusions will be given. Note that the results are consistent with empirical work in the literature.
Postgraduate Studies Programme
Αναλογιστική Επιστήμη και Διοικητική ΚινδύνουDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
96Language
GreekCollections
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές