Quantile hedging
From MaRDI portal
The paper deals with construction of a hedging strategy which maximizes the probability of a successful hedge under the objective measure \(P\), given a constraint on the required cost. This concept of quantile hedging can be considered as a dynamic version of the well-known value at risk concept. First the authors consider the general case of complete market. They determine a set of maximal probability under the constraint that the cost of hedging the given claim on that set satisfies a given bound. Using the Neyman-Pearson lemma, this set is constructed as an optimal test where the alternative is given by the objective measure \(P\), and where the hypothesis is defined in terms of the contingent claim and the equivalent martingale measure \(P^{*}\). Then authors use the completeness of model in order to replicate the knockout option obtained by restricting the claim to this maximal set. This strategy maximizes the probability of a successful hedge. The general incomplete case also is considered. The technique of superhedging is used. As an illustrations of this approach the authors compute the strategy of quantile hedging for call option in different models for the price fluctuation of the underlying asset.
Recommendations
Cited in
(only showing first 100 items - show all)- On a robustness of quantile hedging: Complete market's case
- A Berry-Esseen theorem for sample quantiles under weak dependence
- \(\varDelta \)-VaR and\(\varDelta \)-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC
- Making the best of best-of
- Insuring against the shortfall risk associated with real options
- Limit theorem for Leland's strategy
- Financial options and statistical prediction intervals
- Maximizing the probability of a perfect hedge
- Dynamic portfolio insurance strategies: risk management under Johnson distributions
- A comparison principle for PDEs arising in approximate hedging problems: application to Bermudan options
- Partial super-hedging of derivatives with model risk
- Quantile hedging pension payoffs: an analysis of investment incentives
- Incorporating statistical model error into the calculation of acceptability prices of contingent claims
- Optimal investment under VaR-regulation and minimum insurance
- Quantile hedging in a semi-static market with model uncertainty
- Static hedging of multivariate derivatives by simulation
- Minimizing shortfall risk and applications to finance and insurance problems
- On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals.
- Conservative delta hedging.
- Optimal partial hedging of an American option: shifting the focus to the expiration date
- Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation
- Subjective risk measures: Bayesian predictive scenarios analysis
- A dynamic autoregressive expectile for time-invariant portfolio protection strategies
- A profitable modification to global quadratic hedging
- Approximation of CVaR minimization for hedging under exponential-Lévy models
- On modifications of the Bachelier model
- Optimal control of diffusion processes with terminal constraint in law
- Efficient hedging currency options in fractional Brownian motion model with jumps
- Quantile hedging in models with dividends and application to equity-linked life insurance contracts
- On dynamic programming principle for stochastic control under expectation constraints
- Quenched mass transport of particles toward a target
- Efficient hedging under ambiguity in continuous time
- Effectiveness of CPPI strategies under discrete-time trading
- Quantile hedging for equity-linked contracts
- Combining statistical intervals and market prices: the worst case state price distribution
- BSDEs with weak terminal condition
- A dynamic programming approach to constrained portfolios
- Hedging of options with the help of conditional expected loss criterion
- Asymptotics of robust utility maximization
- On Bayesian value at risk: from linear to non-linear portfolios
- Dynamic hedging of conditional value-at-risk
- Convex hedging of non-superreplicable claims in discrete-time market models
- Stochastic target games with controlled loss
- Asymptotic pricing in large financial markets
- Quadratic hedging methods for defaultable claims
- The maximum principle for one kind of stochastic optimization problem and application in dynamic measure of risk
- A risk-sensitive control dual approach to a large deviations control problem
- An optimal multi-step quadratic risk-adjusted hedging strategy
- Quantile hedging on equity-linked life insurance contracts with transaction costs
- Optimal hedging when the underlying asset follows a regime-switching Markov process
- Electricity swing option pricing by stochastic bilevel optimization: a survey and new approaches
- On the shortfall risk control: a refinement of the quantile hedging method
- Error estimates for second order Hamilton-Jacobi-Bellman equations. Approximation of probabilistic reachable sets
- Partial hedging of American claims in a discrete market
- Economic neutral position: how to best replicate not fully replicable liabilities?
- CVaR-hedging and its applications to equity-linked life insurance contracts with transaction costs
- Portfolio selection in quantile decision models
- scientific article; zbMATH DE number 1642347 (Why is no real title available?)
- The modified sequential hedging strategy: hedger's loss distribution
- CVaR hedging using quantization-based stochastic approximation algorithm
- A backward dual representation for the quantile hedging of Bermudan options
- Convergence of the maximum probability of success in the problem of quantile hedging for a model of an asset price process with long-range dependence
- On optimal super-hedging and sub-hedging strategies
- Variance optimal hedging for continuous time additive processes and applications
- A stochastic target approach for P\&L matching problems
- Dynamic complex hedging in additive markets
- Portfolio insurance: gap risk under conditional multiples
- Quantile hedging for an insider
- VALUE-AT-RISK ESTIMATION FOR DYNAMIC HEDGING
- Maximizing the probability of a perfect hedge in the case of stochastic interest rate
- Quantile hedging for basket derivatives
- Dynamic conic hedging for competitiveness
- Hedging under an expected loss constraint with small transaction costs
- EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
- Testing hypotheses for measures with different masses: Four optimization problems
- Hedging with risk for game options in discrete time
- On financial markets based on telegraph processes
- On the super-replicating approach when trading a derivative is limited
- EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS
- ON THE PROFIT AND LOSS DISTRIBUTION OF DYNAMIC HEDGING STRATEGIES
- Problems of mathematical finance by stochastic control methods
- Capturing parameter risk with convex risk measures
- Coherent hedging in incomplete markets
- Partial hedging in financial markets with a large agent
- Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing
- On Quadratic Cost Criteria for Option Hedging
- Outperforming the market portfolio with a given probability
- A PDE approach to risk measures of derivatives
- Portfolio optimization under a quantile hedging constraint
- Shortfall risk minimization under fixed transaction costs
- Duality Formulas for Robust Pricing and Hedging in Discrete Time
- Hedging European and barrier options using stochastic optimization
- Option pricing and hedging with minimum local expected shortfall
- Quantile hedging for guaranteed minimum death benefits with regime switching
- Dynamic Minimization of Worst Conditional Expectation of Shortfall
- VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors
- Cooperative hedging in the complete market under \(g\)-expectation constraint
- scientific article; zbMATH DE number 1865382 (Why is no real title available?)
- Large losses–-probability minimizing approach
- Hedging under arbitrage
This page was built for publication: Quantile hedging
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1966379)
