2008/11/23 by Przemyslaw Klusik, Przemysław Klusik, Zbigniew Palmowski +4
Economics, Econometrics and Finance · Mathematics · #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling #Stochastic processes and financial applications #math.PR #msc:60H30 #q-fin.PR
paper · pdf · doi:10.48550/arxiv.0811.3749
arxiv created 2008/11/23 · arxiv updated 2009/12/01
In this paper we consider the problem of the quantile hedging from the point of view of a better informed agent acting on the market. The additional knowledge of the agent is modelled by a filtration initially enlarged by some random variable. By using equivalent martingale measures introduced in Amendinger (2000) and Amendinger, Imkeller and Schweizer (1998) we solve the problem for the complete case, by extending the results obtained in Föllmer and Leukert (1999) to the insider context. Finally, we consider the examples with the explicit calculations within the standard Black-Scholes model.