English, Article, Journal or magazine article edition: How to Avoid a Hedging Bias Antje Dudenhausen

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Bookmark: http://trove.nla.gov.au/version/52874
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • How to Avoid a Hedging Bias
Author
  • Antje Dudenhausen
Physical Description
  • preprint
Notes
  • 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.
  • Model misspecification, hedging strategies, convex payoffs, superhedging, discrete-time trading
  • RePEc:bon:bonedp:bgse34_2002
Language
  • English
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