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2006-01-20Buch DOI: 10.18452/3713
Quantile Hedging
dc.contributor.authorFöllmer, Hans
dc.contributor.authorLeukert, Peter
dc.date.accessioned2017-06-15T21:53:10Z
dc.date.available2017-06-15T21:53:10Z
dc.date.created2006-01-20
dc.date.issued2006-01-20
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4365
dc.description.abstractIn a complete financial market every contingent claim can be hedged perfectly. In an incomplete market it is possible to stay on the safe side by superhedging. But such strategies may require a large amount of initial capital. Here we study the question what an investor can do who is unwilling to spend that much, and who is ready to use a hedging strategy which succeeds with high probability.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectvalue at riskeng
dc.subjectstochastic volatilityeng
dc.subjectHedgingeng
dc.subjectSuperhedgingeng
dc.subjectNeyman Pearson lemmaeng
dc.subject.ddc330 Wirtschaft
dc.titleQuantile Hedging
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10056479
dc.identifier.doihttp://dx.doi.org/10.18452/3713
dc.subject.dnb17 Wirtschaft
local.edoc.container-titleSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
local.edoc.pages24
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume1998
local.edoc.container-issue13
local.edoc.container-year1998
local.edoc.container-erstkatid2135319-0

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