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Optimal dynamic hedging and hedger's asset pricing of a state contingent asset.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Optimal dynamic hedging and hedger's asset pricing of a state contingent asset./
作者:	Kim, Sung Kook.
面頁冊數:	1 online resource (88 pages)
附註:	Source: Dissertations Abstracts International, Volume: 54-05, Section: A.
Contained By:	Dissertations Abstracts International54-05A.
標題:	Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=9234121click for full text (PQDT)
ISBN:	9798208831113

Optimal dynamic hedging and hedger's asset pricing of a state contingent asset.
Kim, Sung Kook.

Optimal dynamic hedging and hedger's asset pricing of a state contingent asset. - 1 online resource (88 pages)

Source: Dissertations Abstracts International, Volume: 54-05, Section: A.

Thesis (Ph.D.)--Stanford University, 1992.

Includes bibliographical references

This dissertation derives an optimal dynamic hedging policy for a hedger with non-traded assets, whose risk exposure may be complicated because of option characteristics or other nonlinear dependencies on state variables. In formulating the hedging problem, assets are modeled not by price behavior, a commonly used paradigm, but by cash flow in relation to state variables. Unlike the price behavior model, the cash flow model offers flexibility in determining the value of the asset. A new asset pricing function, the hedger's asset pricing function, is defined to include the effect of hedging in the value of the asset. This function simplifies the optimal dynamic hedging problem and clearly reveals upon application that the optimal hedging problem is similar to an optimal investment problem. By exploiting this similarity and using an existing solution to the optimal investment problem, an optimal hedging policy can be derived. The optimal hedging policy, when hedging instruments are perfectly correlated with assets, is shown to be the sum of the myopic hedging policy for the change in the hedger's asset price and the optimal investment policy when assets are converted to cash at the hedger's asset price. Finally, a method is developed to find an approximate optimal hedging policy when hedging instruments are imperfectly correlated with assets.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2023

Mode of access: World Wide Web

ISBN: 9798208831113Subjects--Topical Terms:

542899
Finance.
Subjects--Index Terms:

asset pricingIndex Terms--Genre/Form:

542853
Electronic books.

Optimal dynamic hedging and hedger's asset pricing of a state contingent asset.
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504 $a Includes bibliographical references
520 $a This dissertation derives an optimal dynamic hedging policy for a hedger with non-traded assets, whose risk exposure may be complicated because of option characteristics or other nonlinear dependencies on state variables. In formulating the hedging problem, assets are modeled not by price behavior, a commonly used paradigm, but by cash flow in relation to state variables. Unlike the price behavior model, the cash flow model offers flexibility in determining the value of the asset. A new asset pricing function, the hedger's asset pricing function, is defined to include the effect of hedging in the value of the asset. This function simplifies the optimal dynamic hedging problem and clearly reveals upon application that the optimal hedging problem is similar to an optimal investment problem. By exploiting this similarity and using an existing solution to the optimal investment problem, an optimal hedging policy can be derived. The optimal hedging policy, when hedging instruments are perfectly correlated with assets, is shown to be the sum of the myopic hedging policy for the change in the hedger's asset price and the optimal investment policy when assets are converted to cash at the hedger's asset price. Finally, a method is developed to find an approximate optimal hedging policy when hedging instruments are imperfectly correlated with assets.
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