CAS Seminar

Keivan Mallahi-Karai

(Jacobs University)

"Is superhedging too expensive?"

Date: Thu, March 8, 2012
Time: 9:45
Place: Research I Seminar Room

Abstract: Superhedging is a strategy to hedge against all risks in an incomplete market. As it is perceived to be too expensive, a partial hedging approach has been suggested by Rudloff. In a joint work with Hirbod Assa, we will compare her approach with the superhedging and will find necessary and sufficient condition for a market in which superhedging strategy cannot be improved upon by a more efficient strategy for some contingent claims.

We will show that, surprisingly, even in a complete market the advantages of using an efficient hedging are marginal.