ROBUST MEAN-VARIANCE HEDGING AND PRICING OF CONTINGENT CLAIMS IN A ONE PERIOD MODEL

DOI10.1142/S0219024912500240zbMath1241.91121arXiv0908.0840OpenAlexW2157972938MaRDI QIDQ2892982

Revaz Tevzadze, Tamaz Uzunashvili

Publication date: 25 June 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0908.0840

zbMATH Keywords

minimax problemrobust optimizationmean-variance hedging

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Hedging derivatives on two assets with model risk ⋮ Robust mean-variance hedging via \(G\)-expectation

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