Hedging using simulation: a least squares approach

Claudio Tebaldi

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Hedging using simulation: a least squares approach

机译：使用模拟对冲：最小二乘法

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This paper presents a new and flexible computational approach to derivative hedging. It is based on the use of least squares regression in order to compute the hedging portfolio. This nonparametric methodology can be readily applied to any derivative contract written on a single underlying risky asset in a complete market with continuous Markov price paths. We illustrate this technique computing sensitivities on plain vanilla and exotic options with both European and American exercise style. The achieved numerical accuracy is always comparable with the best simulation and semianalytic techniques presented in the literature.

机译：本文提出了一种新的灵活的计算方法来进行衍生对冲。它基于最小二乘回归的使用，以计算对冲投资组合。这种非参数方法可以很容易地应用于在完整市场中具有连续马尔可夫价格路径的单个基础风险资产上书写的任何衍生合约。我们用欧洲和美国的运动风格说明了这种技术对普通香草和异国风味期权的敏感性计算。所获得的数值精度始终可以与文献中提供的最佳模拟和半解析技术相媲美。

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来源
《Journal of Economic Dynamics and Control》 |2005年第8期|p.1287-1312|共26页
作者
Claudio Tebaldi;
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作者单位

Dipartimento di Scienze Economiche, Via Giardino Giusti 2, Facolta' di Economia, Universita di Verona, 37129 Verona, Italy;

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原文格式 PDF
正文语种 eng
中图分类 f;
关键词
simulation methods; least squares regression; American options; hedging; malliavin calculus;

机译：模拟方法最小二乘回归美式期权套期保值Malliavin演算;

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Hedging using simulation: a least squares approach

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