Hedging with a Correlated Asset: An Insurance Approach
Hedging a contingent claim with an asset which is not perfectly correlated with the underlying asset results in an imperfect hedge. The residual risk from hedging with a correlated asset is priced using an actuarial standard deviation principle in infinitesmal time, which gives rise to a nonlinear...
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| Format: | Others |
| Language: | en |
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University of Waterloo
2006
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| Online Access: | http://hdl.handle.net/10012/1096 |