Good deal hedging and valuation under combined uncertainty about drift and volatility
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Publication:2296106
DOI10.1186/s41546-017-0024-5zbMath1443.91284arXiv1704.02505OpenAlexW2607107922WikidataQ59527592 ScholiaQ59527592MaRDI QIDQ2296106
Publication date: 17 February 2020
Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1704.02505
stochastic controlrobust hedginggood-deal boundscombined drift and volatility uncertaintyhedging to acceptabilitysecond-order BSDE
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Financial markets (91G15)
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