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Golden options in financial mathematics

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dc.affiliation.institutoUC3M. Instituto para el Desarrollo de Empresas y Mercados (INDEM)es
dc.contributor.authorBalbás, Alejandro
dc.contributor.authorBalbás, Beatriz
dc.contributor.authorBalbás, Raquel
dc.contributor.editorUniversidad Carlos III de Madrid. Instituto para el Desarrollo de Empresas y Mercados (INDEM)es
dc.date.accessioned2018-11-09T14:38:00Z
dc.date.available2018-11-09T14:38:00Z
dc.date.issued2018-11
dc.description.abstractThis paper deals with the construction of smooth good deals (SGD), i.e., sequences of self- nancing strategies whose global risk diverges to ∞ and such that every security in every strategy of the sequence is a smooth derivative with a bounded delta. If the selected risk measure is the value at risk then these sequences exist under quite weak conditions, since one can involve risks with both bounded and unbounded expectation, as well as non-friction-free pricing rules. Moreover, every strategy in the sequence is composed of an European option plus a position in a riskless asset. The strike of the option is easily computed in practice, and the ideas may also apply in some actuarial problems such as the selection of an optimal reinsurance contract. If the chosen risk measure is a coherent one then the general setting is more limited. Indeed, though frictions are still accepted, expectations and variances must remain nite. The existence of SGDs will be characterized, and computational issues will be properly addressed as well. It will be shown that SGDs often exist, and for the conditional value at risk they are composed of the riskless asset plus easily replicable European puts. Numerical experiments will be presented in all of the studied cases.en
dc.description.sponsorshipThis research was partially supported by the University Carlos III of Madrid (Project 2009/00445/002) and the Spanish Royal Academy of Sciences. The usual caveat applies.en
dc.format.mimetypeapplication/pdf
dc.identifier.issn1989-8843es
dc.identifier.urihttps://hdl.handle.net/10016/27672
dc.identifier.uxxiDT/0000001651es
dc.language.isoeng
dc.relation.ispartofseries18-03es
dc.relation.ispartofseriesWorking Paper Business Economic Seriesen
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España*
dc.rights.accessRightsopen accessen
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.subject.jelG11es
dc.subject.jelG13es
dc.subject.jelC61es
dc.subject.jelC65es
dc.subject.otherGolden optionen
dc.subject.otherRisk measureen
dc.subject.otherSmooth good dealen
dc.subject.otherDual approachen
dc.titleGolden options in financial mathematicsen
dc.typeworking paper*
dc.type.hasVersionAO*
dspace.entity.typePublication
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