ESTIMATING RESIDUAL HEDGING RISK WITH LEAST-SQUARES MONTE CARLO

Frequently, dynamic hedging strategies minimizing risk exposure are not given in closed form, but need to be approximated numerically. This makes it difficult to estimate residual hedging risk, also called basis risk, when only imperfect hedging instruments are at hand. We propose an easy to impleme...

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Veröffentlicht in:	International journal of theoretical and applied finance 2014-11, Vol.17 (7), p.1450042-1450042
Hauptverfasser:	ANKIRCHNER, STEFAN, PIGORSCH, CHRISTIAN, SCHWEIZER, NIKOLAUS
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms Hedging Monte Carlo simulation Risk
Online-Zugang:	Volltext
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