紀要論文 Hestonモデルにおける平均・分散ヘッジとデルタヘッジの比較
COMPARISON BETWEEN MEAN-VARIANCE HEDGING AND DELTA HEDGING IN HESTON MODEL

青木, 佐和  ,  AOKI, Sawa

562015-03-24 , 法政大学大学院理工学・工学研究科
ISSN:21879923
NII書誌ID(NCID):AA12677220
内容記述
Hedging errors of derivatives in an incomplete market are considered. We use the mean-variance hedging which is one of quadratic hedges and is driven from the least mean-square error of the hedging under the real world probability measure. In particular, we consider hedging errors of European put option under Heston stochastic volatility model. Through numerical experiments, we investigate relationships between parameters and hedging errors, and also the features of hedging errors in case of containing parameter estimation errors. In addition, we compare the mean-variance hedging to the delta hedging in their cases.
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http://repo.lib.hosei.ac.jp/bitstream/10114/10615/1/13R6201.pdf

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