Asymptotic option price with bounded expected loss
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Song, Seongjoo | - |
dc.contributor.author | Song, Jongwoo | - |
dc.date.accessioned | 2021-09-09T02:15:59Z | - |
dc.date.available | 2021-09-09T02:15:59Z | - |
dc.date.created | 2021-06-10 | - |
dc.date.issued | 2008-12 | - |
dc.identifier.issn | 1226-3192 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/122359 | - |
dc.description.abstract | This paper studies the problem of option pricing in an incomplete market, where the exact replication of ill option may not be possible. In all incomplete market, we suppose a situation where a hedger wants to invest as little as possible at the beginning, but he/she wants to have the expected squared loss at the end not exceeding a certain constant. We Study this problem when the log of the underlying asset price process is compound Poisson, which converges to a Brownian motion with drift. Ill the limit, we use the mean-variance approach to find a hedging strategy which minimizes the expected squared loss for a given initial investment. Then we find the asymptotic minimum investment with the expected squared loss bounded by a given tipper bound. Some numerical results are also provided. (C) 2008 The Korean Statistical Society. Published by Elsevier B.V. All rights reserved. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | SPRINGER HEIDELBERG | - |
dc.title | Asymptotic option price with bounded expected loss | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Song, Seongjoo | - |
dc.identifier.doi | 10.1016/j.jkss.2008.02.004 | - |
dc.identifier.scopusid | 2-s2.0-54049102436 | - |
dc.identifier.wosid | 000261584900006 | - |
dc.identifier.bibliographicCitation | JOURNAL OF THE KOREAN STATISTICAL SOCIETY, v.37, no.4, pp.323 - 334 | - |
dc.relation.isPartOf | JOURNAL OF THE KOREAN STATISTICAL SOCIETY | - |
dc.citation.title | JOURNAL OF THE KOREAN STATISTICAL SOCIETY | - |
dc.citation.volume | 37 | - |
dc.citation.number | 4 | - |
dc.citation.startPage | 323 | - |
dc.citation.endPage | 334 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.identifier.kciid | ART001302986 | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.description.journalRegisteredClass | kci | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalWebOfScienceCategory | Statistics & Probability | - |
dc.subject.keywordAuthor | Option pricing | - |
dc.subject.keywordAuthor | Compound Poisson processes | - |
dc.subject.keywordAuthor | Weak convergence | - |
dc.subject.keywordAuthor | Bounded loss | - |
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