Dynamic hedging of multi-objective basket options and its application to portfolio diversification and management
| Project/Area Number |
22510138
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Social systems engineering/Safety system
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| Research Institution | University of Tsukuba |
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Principal Investigator |
YAMADA Yuji 筑波大学, ビジネスサイエンス系, 准教授 (50344859)
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| Project Period (FY) |
2010 – 2012
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| Project Status |
Completed (Fiscal Year 2012)
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| Budget Amount *help |
¥4,290,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥990,000)
Fiscal Year 2012: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2011: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Fiscal Year 2010: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
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| Keywords | ファイナンス / バスケットオプション / 最適ヘッジ / 加法モデル / Mertonモデル / シミュレーション / リスク管理 / 動的ヘッジ / ポートフォリオ最適化 / 派生証券 / 事業リスク管理 |
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| Research Abstract |
A basket option is a class of derivatives whose underlying is a weighted sum of different assets or portfolio. In this research, we provide an efficient hedging technique for basket options, where we have shown the following items.
(1) We have developed an algorithm to optimally approximate the payoff of basket options using individual options and clarified the theoretical properties.
(2) We have demonstrated the efficiency of our proposed optimal hedging technique and compared the optimal hedging strategy with a super-hedging strategy using computer simulations
(3) We have applied our methodology for a basket type Merton's model, where a company with default risk consists of multiple assets.
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Report
(4 results)
Research Products
(68 results)
