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Deep Hedging of basis risk
Basis risk arises when the writer of a contingent claim cannot trade in the underlying asset and must use a correlated proxy asset to hedge the contingent claim. Suppose the proxy asset is not perfectly correlated to the underlying. In that case, there is a risk that the hedge portfolio does not pre...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2023
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