Accession Number : ADA332023
Title : Conservative Delta Hedging
Descriptive Note : Technical rept
Corporate Author : CHICAGO UNIV IL
Personal Author(s) : Mykland, Per A.
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