書誌事項
- タイトル別名
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- Quantile hedging and minimizing the expected shortfall for bond options
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抄録
Föllmer and Leukert ([2, 3]) investigated the quantile hedging problem and the shortfall risk hedging problem for options of stocks. In the first part of this paper, the quantile hedging problems for options of bonds and for caplets are formulated. We derive a formula of the success probability for Ho-Lee bond model with the market price of risk γ which is equal to σt + c where σ is the volatility and c is a constant. Furthermore a lower bound of the success probability is calculated for caplets with the market price of risk γ which is equal to σt + c. In the second part of this paper the shortfall risk problems for options of bonds and for caplets are formulated. We give a formula of the minimal expected shortfall for Ho-Lee bond model with the constant market price of risk.
収録刊行物
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- 京都産業大学論集. 自然科学系列
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京都産業大学論集. 自然科学系列 38 17-27, 2009-03
京都産業大学
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詳細情報 詳細情報について
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- CRID
- 1050564287371063552
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- NII論文ID
- 110007094427
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- NII書誌ID
- AA11923897
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- HANDLE
- 10965/492
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- NDL書誌ID
- 10248431
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- ISSN
- 13483323
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- 本文言語コード
- en
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- 資料種別
- departmental bulletin paper
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- データソース種別
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- IRDB
- NDL
- CiNii Articles