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Quantile hedging in a semi-static market with model uncertainty - MaRDI portal

Quantile hedging in a semi-static market with model uncertainty (Q1750394)

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Quantile hedging in a semi-static market with model uncertainty
scientific article

    Statements

    title
    Quantile hedging in a semi-static market with model uncertainty (English)
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    author
    Erhan Bayraktar
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    Gu Wang
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    publication date
    18 May 2018
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    zbMATH Keywords
    quantile hedging
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    model uncertainty
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    semi-static hedging
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    Neyman-Pearson lemma
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    cites work
    Quantile hedging
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    Q4226175
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60G42
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    60H30
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    zbMATH DE Number
    6870711
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    OpenAlex ID
    W3125124531
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    arXiv ID
    1408.4848
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