Partial super-hedging of derivatives with model risk

DOI10.1007/s13160-017-0267-7zbMath1376.91161OpenAlexW2754295853MaRDI QIDQ1684775

Koichi Matsumoto

Publication date: 12 December 2017

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13160-017-0267-7

zbMATH Keywords

derivativesmodel riskuncertainty of parameter

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
• Efficient hedging: cost versus shortfall risk
• Quantile hedging
• On dynamic measure of risk
• Optimal investments for risk- and ambiguity-averse preferences: a duality approach
• Robust Preferences and Robust Portfolio Choice
• Robustness of the Black and Scholes Formula
• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
• Pricing and hedging derivative securities in markets with uncertain volatilities
• Uncertain volatility and the risk-free synthesis of derivatives
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• Exact Superreplication Strategies for a Class of Derivative Assets
• Optimal Investments for Robust Utility Functionals in Complete Market Models

This page was built for publication: Partial super-hedging of derivatives with model risk