Accession Number:

ADA332023

Title:

Conservative Delta Hedging

Descriptive Note:

Technical rept

Corporate Author:

CHICAGO UNIV IL

Personal Author(s):

Report Date:

1997-09-01

Pagination or Media Count:

32.0

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 institutions man agement a greater oversight of its exposure to risk.

Subject Categories:

  • Economics and Cost Analysis

Distribution Statement:

APPROVED FOR PUBLIC RELEASE