Hedging Demands in Hedging Contingent Claims
研究离散时间下对冲或有索取权时，最小方差对冲在多期情形下并非最优，因为对冲误差不独立；最优多期对冲与最小方差对冲之差称为对冲需求，取决于偏好、期权特征、交易频率和期限，以及标的资产与期权的联合分布。作者用非参数方法检验了标普500指数期权中对冲需求的经济重要性。
Minimum-variance hedging of a contingent claim in discrete time is suboptimal when the contingent claim is hedged for multiple periods and the objective is to maximize the expected utility of cumulative hedging errors. This is because the hedging errors are not independent. The difference between a minimum-variance hedge and the optimal multiperiod hedge is called the hedging demand and depends on the hedger's preferences, the characteristics of the contingent claim, the trading frequency and horizon, and most importantly the joint distribution of the contingent claim and the underlying security prices. Since modeling this joint distribution is empirically controversial, I examine nonparametrically the economic importance of hedging demands in the case of hedging Standard & Poor's 500 index options. © 2003 President and Fellows of Harvard College and the Massachusetts Institute of Technology.