An explicit expression to the locally R-minimizing hedge of a European call in the hull and white model

Yang, Z., Ewald, C.O. and Schenk-Hoppe, K.-R. (2010) An explicit expression to the locally R-minimizing hedge of a European call in the hull and white model. Quantitative and Qualitative Analysis in Social Sciences, 4(1), pp. 1-18.

Abstract

This article provides a proof by using only basic probabilistic methods that the Delta hedge under the minimal martingale measure coincides with the locally R-minimizing hedge in the Hull and White model. An explicit expression for the hedge is derived.

• Item Type: Articles
• Status: Published
• Refereed: Yes
• Glasgow Author(s) Enlighten ID: Ewald, Professor Christian
• Authors: Yang, Z., Ewald, C.O., and Schenk-Hoppe, K.-R.
• Subjects: H Social Sciences > HB Economic Theory
• College/School: College of Social Sciences > Adam Smith Business School > Economics
• Journal Name: Quantitative and Qualitative Analysis in Social Sciences
• Journal Abbr.: QASS
• ISSN: 1752-8925