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Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments
http://hdl.handle.net/2261/39557
http://hdl.handle.net/2261/395574404148e-8007-4cc1-8870-aa63ec348321
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2017-01-17 | |||||
| タイトル | ||||||
| タイトル | Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | European Derivatives | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Black-Scholes Delta Hedging | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Uncertain Volatility Risk | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Polynomial Variance Swap | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_18gh | |||||
| タイプ | technical report | |||||
| アクセス権 | ||||||
| アクセス権 | metadata only access | |||||
| アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
| 著者 |
Takahashi, Akihiko
× Takahashi, Akihiko× Tsuzuki, Yukihiro× Yamazaki, Akira |
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| 著者所属 | ||||||
| 著者所属 | Graduate School of Economics, University of Tokyo | |||||
| 著者所属 | ||||||
| 著者所属 | Mizuho-DL Financial Technology Co., Ltd. | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | This paper proposes a new hedging scheme of European derivatives under uncertain volatility environments, in which a weighted variance swap called the polynomial variance swap is added to the Black-Scholes delta hedging for managing exposure to volatility risk. In general, under these environments one cannot hedge the derivatives completely by using dynamic trading of only an underlying asset owing to volatility risk. Then, for hedging uncertain volatility risk, we design the polynomial variance, which can be dependent on the level of the underlying asset price. It is shown that the polynomial variance swap is not perfect, but more efficient as a hedging tool for the volatility exposure than the standard variance swap. In addition, our hedging scheme has a preferable property that any information on the volatility process of the underlying asset price is unnecessary. To demonstrate robustness of our scheme, we implement Monte Carlo simulation tests with three different settings, and compare the hedging performance of our scheme with that of standard dynamic hedging schemes such as the minimum-variance hedging. As a result, it is found that our scheme outperforms the others in all test cases. Moreover, it is noteworthy that the scheme proposed in this paper continues to be robust against model risks. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | Revised version of CIRJE-F-653 (2009); forthcoming in International Journal of Theoretical and Applied Finance, pp. 485-505, Volume: 14, Issue: 4, June 2011. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 本文フィルはリンク先を参照のこと | |||||
| 書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-777, 発行日 2010-12 |
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| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AA11450569 | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| 日本十進分類法 | ||||||
| 主題Scheme | NDC | |||||
| 主題 | 335 | |||||
| 出版者 | ||||||
| 出版者 | 日本経済国際共同センター | |||||
| 出版者別名 | ||||||
| Center for International Research on the Japanese Economy | ||||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2010/2010cf777ab.html | |||||
