Conservative Delta Hedging

Abstract

It is common to have interval predictions for volatilities and other quantities governing securities prices. The purpose of this paper is to provide an exact method for converting such intervals into arbitrage based prices of financial derivatives or industrial or contractual options. We call this procedure conservative delta hedging. As existing procedures are of an ad hoc nature, the proposed approach will permit an institution's man agement a greater oversight of its exposure to risk.

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Document Details

Document Type
Technical Report
Publication Date
Sep 01, 1997
Accession Number
ADA332023

Entities

People

  • Per A. Mykland

Organizations

  • University of Chicago

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