Accession Number : ADA332023


Title :   Conservative Delta Hedging


Descriptive Note : Technical rept


Corporate Author : CHICAGO UNIV IL


Personal Author(s) : Mykland, Per A.


Full Text : https://apps.dtic.mil/dtic/tr/fulltext/u2/a332023.pdf


Report Date : SEP 1997


Pagination or Media Count : 32


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.


Descriptors :   *FINANCIAL MANAGEMENT , PREDICTIONS , INTERVALS.


Subject Categories : ECONOMICS AND COST ANALYSIS


Distribution Statement : APPROVED FOR PUBLIC RELEASE