Hedging large risks reduces the transaction costs
| dc.creator | Selmi, Farhat | |
| dc.creator | Bouchaud, Jean-Philippe | |
| dc.date | 2000-05-09 | |
| dc.date.accessioned | 2026-07-07T02:37:35Z | |
| dc.date.available | 2026-07-07T02:37:35Z | |
| dc.description | As soon as one accepts to abandon the zero-risk paradigm of Black-Scholes, very interesting issues concerning risk control arise because different definitions of the risk become unequivalent. Optimal hedges then depend on the quantity one wishes to minimize. We show that a definition of the risk more sensitive to the extreme events generically leads to a decrease both of the probability of extreme losses and of the sensitivity of the hedge on the price of the underlying (the `Gamma'). Therefore, the transaction costs and the impact of hedging on the price dynamics of the underlying are reduced. | |
| dc.description | 8 pages, 3 .eps figures. Submitted to RISK magazine | |
| dc.identifier | https://arxiv.org/abs/cond-mat/0005148 | |
| dc.identifier | http://arxiv.org/abs/cond-mat/0005148 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/16344 | |
| dc.subject | Condensed Matter | |
| dc.title | Hedging large risks reduces the transaction costs | |
| dc.type | text |