摘要翻译：
研究了具有相关性的Black-Scholes模型下篮子衍生工具的分位数套期保值问题。导出了概率最大函数和成本降低函数的显式公式。结果表明，该结果适用于广泛交易的衍生品，如数字，量子，优绩和价差期权。
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英文标题：
《Quantile hedging for basket derivatives》
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作者：
Micha{\l} Barski
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最新提交年份：
2016
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
  The problem of quantile hedging for basket derivatives in the Black-Scholes model with correlation is considered. Explicit formulas for the probability maximizing function and the cost reduction function are derived. Applicability of the results for the widely traded derivatives as digital, quantos, outperformance and spread options is shown.
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PDF链接：
https://arxiv.org/pdf/1010.5810