Accession Number : ADA332023

Title :   Conservative Delta Hedging

Descriptive Note : Technical rept

Corporate Author : CHICAGO UNIV IL

Personal Author(s) : Mykland, Per A.

PDF Url : ADA332023

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